Changing the information in Library only changes the ID3 tag information, not the file name. Only LW 4 had the ability to change file name from within the Library. So Peerless's advice is the only way at present.
Oh .. and keep in mind, you will need to re-start LW for the files to show up as changed. They will be auto-stopped from sharing if you change their name on computer whilst LW is open. I'm sure LW will improve this at some stage. A LW Dev agreed with me a month or two ago this process was not very satisfactory.