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When clicking on name change the first time it asked my confirm with a pw.. it said that it would eliminate that planet so a bolted. Now when I do it nothing happens at all. I've got to Colonies named Colony.

There are two options: Abandon Colony and Change Name. Just enter the new name and click Change Name. No worries if you accidentally click on Abandon Colony because there is another confirmation step after that in that case.

Edit: After rereading your post it is clear that you did in fact accidentally click on Abandon Colony, because that is in fact the message you get when you click on that, and you do not get it when you click on Change Name.

I can't find the link under option where us it at that's a answer but i can't find it

To change your planet name click on Overview at the top left of your Planet Menu. Select the appropriate planet from the drop down box at the top center of your screen. Then, below the drop down box selection, it repeats the planet name. If you click on this you will see the options Abandon Colony and Change Name.