Since there is nothing more to instruct than revealing the secret where "Welcome to the Frontpage" title is hidden :)  , just take a look at the screenshot below.

For Joomla 2.5 / 1.7
Navigate Menus -> Your Menu (the menu where you've got the default menu item)
Click on the Home menu item and modify Browser Page Title parameter:

For Joomla 1.5
Navigate Menus-> Your menu (the menu where you've got the default menu item)
Click on your Home link and modify the Page Title parameter:

Then save modifications.