In Frontpage, open the web, open the page.
Then go to File > Save As. Leave the file name as it is, but change
whatever is in the "title" field in the Save dialogue box.
e.g if it is "About.htm" then change the title (in the save screen as "About
Me" (or whatever it might be).
In the HTML Code View, change whatever is between the <title> and </title>
tags.
Then when you save it as a Favourite, it will be the name of the page i.e.
the <title> of the page.
If a page doesn't have anything in the <title> it will save the favourite as
the "actual" file name.
FP's default file nams when a new page is started the title is like New
Page 1, New Page 2 etc. This should be the first thing you change - to
whatever your page title should be.