Not to discourage other answers, but this has been asked quite a few times in the past. Here are some previous instances which may help you find your answer:
How do we end up with dramatically different place names in different languages?
Why are some countries named differently in English (for example) and their native language?
How did Japan end up calling itself by China's name for the country: "Land of the Rising Sun"?
Where do the translations and spellings of foreign nations into English come from?
Why is Germany called Deutschland in German, and Germany in English?