All Windows Phones by default will be named "Windows Phone" as can be seen in the below screenshot (this screen can be found under Settings -> about.
This name is for example used to show your phone in Windows Explorer when you connect it to your PC with an USB cable:
Or to identify your device on another bluetooth device (i.e. a car kit).
If you want to change this name, so far, I haven't found an option to do it on the phone itself unfortunately. An easy way to achieve this however is by connecting your Windows Phone to a Windows PC or tablet via a micro USB cable and then simply changing the name of the Windows Phone via the Windows Explorer: