If you play a "Quick Play" game, then the very first screen will allow you to set the difficulty and player name.
If you are playing "Multiplayer" there is no difficulty setting, since you'll be playing against another human. You can set your name though.
If you are playing "Campaign Play" the difficulty is determined by how far up the ladder you have made it. It starts off easy and gets harder the further along you get. It uses the player name that is already set from quick play or multiplayer.
~Charles