Ok, I decided to post this because I wasted some time figuring out and I don’t want others to meet the same destiny.
This is actually quite simple, you can’t change the name of “Home”. It’s hard coded somewhere and I couldn’t figure that out either ( trust me I spent hours hacking the header.php and other files to no avail )
You MUST create a custom menu in order for you to be able to change that tab to whatever you want.
Creating a custom menu is very simple ( WP 3.3.1 but I’m pretty sure it was a similar in other versions)
Go to Appearance > Menus
In there you’ll create you custom menu ( I called mine: “main menu” since that’s what it will become )
After you create the menu make sure you make it the “primary menu” for your site.
That’s it! Now you just create pages or if they where already created you just add them to this menu.
You can also alter the order they will show on your navigation.