How to change listing caption?

The following modifications are what you're after:

\renewcommand{\lstlistingname}{Algorithm}% Listing -> Algorithm
\renewcommand{\lstlistlistingname}{List of \lstlistingname s}% List of Listings -> List of Algorithms

\documentclass{article}
\usepackage{listings}% http://ctan.org/pkg/listings
\renewcommand{\lstlistingname}{Algorithm}% Listing -> Algorithm
\renewcommand{\lstlistlistingname}{List of \lstlistingname s}% List of Listings -> List of Algorithms
\begin{document}
\lstlistoflistings

\begin{lstlisting}[caption={Descriptive Caption Text},label=DescriptiveLabel]
for i:=maxint to 0 do
begin
{ do nothing }
end;
Write('Case insensitive ');
WritE('Pascal keywords.');
\end{lstlisting}

\end{document}​

The example was taken directly from the listings documentation.