How can I change this name? This xue drives me crazy, I don't know where it come from, how can I change it?
It's the current user's home directory. It should correspond to the currently logged in user (shown in System Preferences > System > Accounts). The name xue is the short name for the currently logged-in user.

If it's on your Mac and it isn't you and you don't recognise it, then you'd have to wonder who has an account on your Mac that you don't know about. Did you buy it secondhand maybe?

You can rename user accounts - see Apple's support website for more info.