So, let's get down to business.
First, click the downward pointing arrow on the right-hand side of the blue bar at the top of any Facebook page. It will drop down a menu. Select the "Account Settings" option under the menu:
In the General Account Settings page (which should be the first page loaded once you click Account Settings), click the "edit" link on the line for Username (click the image for a larger view):
Afterwards, enter your desired username into the "Username:" box. Please note that you only get to change it once afterwards. When done, click on the "Save Changes" button. Note that the button will be greyed out until you actually enter (or make a change) your username in the "Username:" box. This is to prevent you from losing your chance to change it later by accidentally clicking on Save Changes when you haven't made any changes yet. (Click the image for a larger view):
After that, you should be set! To try it out, go to http://facebook.com/username where username is the Facebook Username that you selected in your account settings.