In your theme look for header.php. There you can change the names of the links.
<?php _e( \’Blog\’, \’buddypress\’ ) ?>
Change it to
<?php _e( \’My Blog\’, \’buddypress\’ ) ?>
Remember to change it in your members theme too.
Note that this will only change the text not the actual link. So it will show [My Blog] but it will still go to yoursite.com/blog