When I generate the file, it is generated in the path where the file is saved, but want to change the name of file generation.
Not sure I understand what you are wanting. Are you wanting to change the name of the "start page"? The page that opens the Webhelp system? If so, look at the image below:
If instead, you are talking about what appears in the Title bar, Change the area at the top of the dialog that is named "Title Bar".
When you open the help file, in the left corner of the window is shown the file name. I want to change that name too.
This would certainly seem to suggest the Title Bar, but we need to know more. For example, what is your output type? CHM, WebHelp, FlashHelp, AIRHelp, etc.