[Edit:] Actually, that should be England, not Britain in the previous sentence, Cnut already had "king of all England" in his title, so it was know as such before the Norman conquest (not surprisingly, the name derives from the Angles that settled there some centuries earlier, first written use of the name was in the late 9th century, http://en.wikipedia.org/wiki/England#Toponymy).
[Edit:] Actually, that should be England, not Britain in the previous sentence, Cnut already had "king of all England" in his title, so it was know as such before the Norman conquest (not surprisingly, the name derives from the Angles that settled there some centuries earlier, first written use of the name was in the late 9th century, http://en.wikipedia.org/wiki/England#Toponymy).