It's wise to set things up properly before starting to create windows. The Project menu has two items you should look at: Edit project settings and Edit global settings.
Project settings are saved with the project file and are changed on a per-project basis. These include project name (used as a base for generating files), and project directory name.
Global settings are variables that are likely to change on a per-user basis, and are stored in WIN.INI (under Windows) or .Xdefaults (under X). Under X, the .Xdefaults file should be edited by hand, since the X versions of wxBuilder do not currently save global settings. See Resources.
In addition, set the name of the application class (to be used as a derivative of wxApp) and a brief description of the project, using the Edit application properties item on the File menu.