This tradition can be traced back to the Hebrew Scriptures, when Abram's name was changed to Abraham when he was called to lead his people to believe in the one God. In the Christian Testament, we also find Simon's name changed to Peter, meaning "rock," because he became the rock upon which Jesus founded his Church.
Like these Biblical figures, your Confirmation name should reflect your new role as a mature Christian. Your name could be chosen to honor saint who is the patron of something special or close to you, or maybe one who has a story you relate to or admire... the only limit is that the name must be a Catholic Saint's name.
You won't have to change your name to your Confirmation name in real life, but the Bishop (or whoever bestows the Sacrament on you) will call you by your Saint name at the Confirmation Mass.