This is very simple and does not require you to actually search throught the registry or activate any features using the Group Policy Editor. Open the note pad and paste the following lines into it:
Windows Registry Editor Version 5.00
Replace the "TweakXP.com" with what ever text you would like to have displayed in the Title bar of the Internet Explorer Windows. Use your imagination. Then name the file "Explorer Renamer.reg" or something like that then simply close the editor and double click the file and click YES and your done. You might want to keep the file on hand in case you upgrade IE and it changes it back to normal then you will just need to reclick the file and it will be back to the title that you want.