When you upload a file to your Project.co account it will take the file name as the name of the file.
To change this name, click on the "Options" button next to the file in the files list and then click on "Rename".
This will bring up the rename dialog.
From here you can rename the file as needed. When you have finished, click the "Rename" button and the file will show with it's new name.
When you download this file it will be downloaded with the name you specify. Or, if you haven't renamed the file then it will be downloaded with the original file name.