Yesterday I was trying to change my e-mail (login) and it keeps saying that an e-mail was sent to me to accept the change, but I never receive that e-mail. So I cancelled the request and tried again... No joy.
So... your _username_ that you log in with, can't be changed. That's a limitation in WordPress. You can change the e-mail the site contacts you at, and if it's not working, drop a line to webmaster@ with your info and we'll be happy to help.