Why did the royal family adopt the name windsor?

During the First World War anti-German sentiment was rife in Britain and elsewhere. King George V's cousin Tsar Nicholas II of Russia and his entire family were killed during the Russian Revolution and out of fear of the same thing occurring in Britain, the royal family was encouraged to reject all titles held under the German crown and to change the royal house name from Germanic-sounding Saxe-Coburg-Gotha, to the more English-sounding Windsor.

The German Kaiser Wilhelm II, another cousin of George V, remarked with derision that he was looking forward to watching a production of Shakespeare's 'The Merry Wives of Saxe-Coburg-Gotha', referring to the name change.