No. You said the excel file name i.e. in the naming tab, the field that says "Customize the ouput filename". If you select this option and type in "myownfilename" then the resulting excel file will be called "myownfilename.xls".
If you want to change the tab name from "sheet1", then you need to click on the "..." to get into excel options. At the bottom of the "General" tab is the "Worksheet name". Here you can enter "MySheet" and the tab wil then be called "MySheet" when you export the file.
There is a 25 character limit on this field.
So two totally different pieces of functionality there.
