Okay, I've searched up, down, left, and right, even asked a friend who owns a copy and nowhere can I find if they named this guy. Anyone have some sort of clue?

It's in an oddly obvious place. Two obvious places, in fact. First one I had somehow missed and the second was "Derp, why didn't I look there right away?"

Yes they did.

If you don't change the character's name (by clicking on the portrait) after you start a new game then you get the default name. During play, press <enter> to go into the 'world' view -- by moving the cursor to the bottom of the screen, you can see a list of all the wizards on that level, which tells you that your character is called ... [drum roll] ... 'Zanzamar'.