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I plugged in a USB hard drive into a Pi 4, and I wanted to change the label before I started setting it up on the network. I can right-click and try to rename, but it doesn't work, giving me an error about not having permission to do that.
In Windows, it's as simple as right-click, rename, and then done.
How can I do this in the GUI of Raspbian?
One GUI tool which is able to change disk labels is gparted. You may have to install it before use (sudo apt install gparted), then it can be accessed via the start menu. Open it, select the device and partiton you need, and click on "Label File System":
Don't forget to click "Apply" before you quit. Unlike in Windows, partition managers in Linux don't usually make live changes on the disk, giving you an opportunity to undo any pending operation. Arguably, this makes little sense for a label change, but it does when you something more serious, like resizing/moving partitions.
root can change the label, as can anyone in group "disk".
Otherwise, try:
sudo fatlabel /dev/whateveritis new-name
Instead of fatlabel, you may need a different filesystem's label command. like e2label or ntfslabel or exfatlabel.
The "whateveritis" is probably sda1, and your GUI may show it too.
lsblk --fs.