If you need to change the name of the Application as it appears on the iPhone's home screen, you need to do it in the Target configuration, not the project configuration. Expand the Targets group in Xcode, then single-click the item under that. It should share the name of your project, which is also the default name of the application that gets generated.
Press command-I to bring up the Info window, then navigate to the Build tag. Set the Configuration drop-down to read All Configurations, then look for a setting called Product Name under the Packaging heading. Change that value to the name you want for your compiled applications and, in the immortal words of Bugs Bunny: Viola! Do a clean then build and your application will take on the new name.