Open MW2: MP, press the button you have to get the ingame steam community up.
Open up friends -> press view -> press settings. Change your nick there.
Lets say you want your name to be orange then you enter ^7Mynick.
You can also have more than one color example:
^7My^6name, which would give you orange and magenta.
The colors:
^8 = COLOR
^7 = COLOR
^6 = COLOR
^5 = COLOR
^4 = COLOR
^3 = COLOR
^2 = COLOR
^1 = COLOR