You must populate the request's RenameTo property with the new filename (without a directory prefix).
For example, to rename a file in the incoming directory from tempfile.txt to deleteme.txt:
using System;
using System.Net;
using System.Threading;
using System.IO;
using System.Text;
class ThreadTest
{
static void Main()
{
var req = (FtpWebRequest)WebRequest.Create("ftp://ftp.yourFtp.com/tempfile.txt");
req.Proxy = null;
req.Credentials = new NetworkCredential("nutshell", "yourValue");
req.Method = WebRequestMethods.Ftp.Rename;
req.RenameTo = "deleteme.txt";
req.GetResponse().Close(); // Perform the rename
}
}