After capturing a clip using the "Capture Now" feature, the clip is saved to the Browser and given a name based on the Description, Scene, and Shot/Take fields of the Logging tab in the Log and Capture window. The captured file on disk uses this same name. The checkboxes to the right of each field determine whether the information will be used as part of the filename.
If the fields are left blank, the clips in the Browser and the disk will be titled "Untitled", "Untitled1", "Untitled2", and so forth.
You can change a clip's name in the Browser by selecting the name and moving the mouse (or choosing Edit > Item Properties > Logging Info), but the filename on the disk will stay the same as when it was captured.