If you want to find the name of an untitled song in Windows Media Player, just right-click the file and select Find album info:
If you're connected to the Internet, Windows Media Player should provide information about the song (Name, Artist, Album, Release Year). If it can't find information about the song, you can try using iTunes. Just download and install the application, import the songs, right-click on their icon and select Get Track Names:
Again, if you're connected to the Internet, the application should provide all the information regarding your song. If you want to change the name of the song, you will need to do it manually. You can do this through Windows Media Player. Just right-click the file, select Edit and change the name.