The name of a course is the name that will be featured within your membership website as students login, the name which is featured on the checkout page. If a membership is the classroom a course is like the lectures that happen within that classroom. It's important that you choose a name that describes what your course is going to teach people to do in as fewer words as possible.
From there you can click on the '+ Create New Course' button of an already created membership website.
When you arrive at the course creation page scroll down until you see 'Course name'. In this form here you can name your course.