Antoine,
When you create a new form (Dashboard>Contact>Add New), at the top of the screen, you will see Untitled in bold. Enter the name you want and continue designing the form.
If you want change the name of a existing form to something more meaningful to you, click Contact and Edit under the form in question. The form will enter in design mode. At the top of the screen, you will see something like this '[contact-form-7 id="451" title="Event-Activity Form"]' with a brown background. Simply click on the text following the 'title=' and enter the name you want.
Make sure you click the Save button.