There's a couple of ways to do it.
One way that you see marcus do it, is to edit the page or post and change the title. But the problem with that is the title "slug" doesn't change and it is the "slug" that wordpress uses to track all your post and pages.
For me a better way is to go into your dashboard>page or dashboard>post and select all (all pages or all post) then find the page or post you want to change the URL for and click on "Quick Edit". The remove the "Slug" so their is nothing in the field. After that change the title and you will also notice that the "slug" is updated at the same time.
For me this is the prefered method.