Changing server hostname
Debian based systems
Edit file /etc/hostname
After which you can restart networking, or restart the server to get the changes. Latter is preferrable as that way you can be certain everything needed is restarted and reconfigured, opposed to remembering what needed to be restarted.
It's on the file /etc/sysconfig/network line starting HOSTNAME=, otherwise it does not differ from the debian based systems.
On windows it's known as computer name, and is not a Fully Qualified Domain Name like on Linux based systems. This can be found on computer properties, ie. click start -> 2nd click computer, choose properties from context menu.