This code is not changing the title of the window
CCEGLView* eglView = CCEGLView::sharedOpenGLView();
eglView->setViewName("TEST");
Using this code and window title is changed:
HWND handle = eglView->getHWnd();
SetWindowText(handle, "MY_GAME_TITLE");
/EDIT
Tested on Windows 8 with cocos2d-2.1beta3-x-2.1.0.