<p>Rehsarper 4.0 - Renaming a class does not rename the file…<br>
I probably set something on accident in the options, but I can't find it. Any ideas?</p>

When I do a rename in Resharper there's a checkbox below the textbox where you type the new name that says "Synchronise file name with class name". Check that and the file is renamed too.
Be sure you're using Resharper's rename (right-click/Refactor/Rename) rather than Visual Studio's (right-click/Rename), as the latter definitely doesn't rename the file.