When you close out of a project for the first time a dialogue box will appear where you can type in a name of your choice. Otherwise it will save to your Projects browser by default as My Movie 1, 2, etc. When you share out the movie it should share out with the name that you entered in the dialogue box or, if none, then the default name. As AirGraph says, when you share out you can enter whatever name you want in the share box and it will share out with that name. You can also go to your Projects browser (where your projects are displayed as icons) and enter a new name in the title box below the project's icon. It will share out with that name. You can also change the name on the icon of the movie that you have shared out to your desktop in the event that you have changed your mind about the name.
If the above is not the way iMovie is functioning on your Mac, then try deleting preferences and see if that cures it. Open iMovie while holding down the Option and Command keys and selecting to delete preferences in the box that appears.
iMovie will open in a new library. Reopen your old library to get back to your projects. Now see if iMovie functions correctly.
-- Rich