Your site's name is part of the general settings, which you can find under 'Setup' --> 'General'.
To change your site's name, click on 'Admin' in the toolbar at the top of your page.
Then click on 'Setup' in the green tool bar and then 'General' in the toolbar beneath that.
Then fill in the box under 'Site title' with a name of your choice for your website.
You can also add a site description. This is useful for search engines to understand what your site is about, so don't leave it empty!