You need to set figure properties.
At the very beginning of the script, call
figure('name','something else')
Calling figure is a good thing, anyway, because without it, you always plot into the same window, and sometimes you may want to compare two windows side-by-side.
Alternatively, you can store the figure's handle by calling
figH = figure;
so that you can later change the figure properties to your liking (the 'numberTitle' property setting eliminates the "figure X" text)
set(figH,'Name','something else','NumberTitle','off')
Have a look at the figure properties in the MATLAB documentation to see what else you can change if you want.