do you mean the screen from which you start the virtual machine? If so, that screen displayes whatever your VM is called. If your VM is called "Vista" it will show the name Vista. You could rename your VM to "Millenium Falcon" and it will say that on the opening screen. Once you start your VM, the name will be replaced by whatever operating system is running on the VM.
The VM's name is the name of the Parallels VM file in the "Parallels" folder inside your "Documents" folder, if I'm not mistaken.