I've had to learn this at least twice now, so I figure I may as well make myself a note. To change it:
1. Go to Special:Allmessages page
2. Find link in name column you wish to change (e.g. MediaWiki:Portal)
3. Edit page and enter new label you'd like for this link (e.g. Archives)
Although the link will be relabled, it will still point to the original page (in this case,
MediaWiki:Portal.) To have the link actually link to the new page, click the -url link on the
Special:Allmessages page (e.g.
portal-url) and edit that page, much like you edited the lable page, by entering the name of the page you wish to have it redirected to.
You can also have the old page redirect to the new one. To do this, go to that page and enter the following line at the top:
#REDIRECT [[New Page Name Here]]
But easier just to change the -url namespace itself.
For more info on redirection, see
Wikipedia:Redirects