Changing your name is a pretty easy. You have to file a petition in the circuit court of the county where you live. You certify that you're not changing your name to evade justice (i.e., to avoid capture by law enforcement, or to evade your creditors), and you post your petition in several public places for a month. After that, you fill out an affidavit certifying that you've done it, and, if no one has an objection, the name change judgment is signed by a judge and the change becomes official. You're responsible for notifying any institutions - banks, the IRS, &c. - about the change. You do this by getting certified copies of the name change judgment and sending them to any institution that may care about the change.
Changing your children's names is harder. To do that, you need the consent of their other parent, or a court order. You should consult with an attorney if this is going to be an issue.
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Mr. Bodzin is correct. For an adult to change there name is a simple process. You can probably get a packet of forms and instructions down at the local courthouse. A child is a bit harder because both parents must conset, but the child can always just wait until they are 18 and then do it. What I want to comment further on is your concept that your name was changes somehow in Mexico. You name on your original birth certificate should have been your legal name and should still be your legal name. Maybe your mother started using another name for you when you were in Mexico, but your name legally should still be the name on your original birth certificate unless some court ordered a legal name change. What may be going on here is you have both a legal name, the one on your birth certificate, and an adopted name which is not your legal name. Writers and actors often adopt stage names or pen names they use in their work, but these names are not their legal names. The famous writer Mark Twain was actually legally named Samuel Clemens. So you can adopt a name that you use during your life, but you just can't use it for a legal purpose like a driver's license, passport, or your military papers. In the past sometimes people would use pen names for legal documents just by filling in a form, and if no one bothered to check they might well have been issued legal documents with the not so legal name. But in today's computer post 9/11 world legal names are more tightly scrutinized. So I suggest if you do a legal name change you might want to consult with an attorney as to the proper way to fill out the forms to address the various name issues you have and to make sure the final court order is written in a way that you can submit it to to office where your birth records are so that your name on your birth record can be properly updated. This will be important when you want to get legal documents issued like a passport in the future. http://www.portlandlegalservices.com
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I agree with my fellow lawyers. This is something you can probably do yourself, but if you get stuck, you should consult with a general practitioner lawyer on an as needed basis. Many times, the court provides booklets to assist people seeking a name change.