To a man with mental problems such as his, names are very confusing. He likes to call people by their first names, as anything else gets a bit to messed up in his mind but no-one seems to call him by his. He's not even sure he has one.
He knows he has a surname. Temp always insists on calling him Murdock. At first, he thinks it might be his first name because Temp uses it enough to be one but then he remembers the hospital calling him Mr Murdock and he knows that first names don't come with title. Surnames do so that must be what 'Murdock' is, the second part of his name. He still doesn't know the first.
He knows he has a title. He'd know it even if Hannibal-which he thinks is a nickname but is the closest thing to a first name the boss man has- didn't use it all the time to remind him. It's written on his name tags and on all his papers and he has a badge that tells everyone he's better than a Lieutenant but not quite a Major yet. He knows people don't treat him like a Captain but it's still his title and they better use it.
He knows he has nicknames as well. The entire base, including Temp's on-off girlfriend Sosa (she refused to say her first name) call him HM. Initially he thought they might be his initials, as the M could be for Murdock then someone calls him 'Howling Mad' and he realises thats what they stand for. Doesn't mean the H can't stand for his first name as well, but he doubts it.
He also has descriptions that have come to be nicknames. Bosco calls him crazy so much it deserves a capital C. Crazy Murdoch, the pilot who can do barrel-rolls and flips in a copter. He doesn't think that makes him crazy, just skilled but he supposes Bosco probably knows better than him.
No one ever uses his first name so he never needs it. With four different names, comes four different personalities. HM is the most insane of the lot, Crazy the most playful, Captain the most likely to follow orders and Murdoch the smartest. No one ever notices because he's always insane, playful, obedient and clever but each one is just a little different to the other three. If anyone was to every meet First Name, Murdoch thinks that guy would be who he really is, without the changes but he doesn't know quite yet. Captain thinks Murdoch is mental and tells him to get back to flying the plane.
He finds out on trial day. The judge looks at him and says 'Captain James Murdoch, I strip you of your rank'. So he loses Captain and all his obedience but he gains James and all his fight. He keeps HM's insanity but loses Crazy's playfulness. He is James 'HM' Murdoch and he's ready to get out of prison.