I don't think it can be changed as it's read from the SIM card. The only setting I know of is shutting it off in the "call logs and lists" in the options menu.
options>call management> call logs and lists
Oh, there's a place in SIM card> identity and associations. where you can change it, but I'm not sure, what that actually does. If that's even the same place where "My number" is displayed.
Call your carrier and have them change your number. The system will then update the device.
SmakBerry your close, the part where it says My Number displayed is for Caller ID.
If you disable this it will show up on someone elses phone as Unknown or Restricted.