Select "Project | HtmlHelp Compiler Options" and click on the "Windows" tab to see this option.
The "Window" name at the top shows the current window. You can change the current window by using the drop down arrow to the right of the field. To add a new window click on the [+] button and to delete a window click the [X] button. The "Main" window name is a special reserved name and cannot be deleted.
On the right is the "Title" field. For the "Main" window this should correspond to the "Title" field you see at the top of the main Project screen. This title will be shown in the title bar of your compiled help file.