I expect that there are a lot of people who already wrote some knowlegde article about this. But it never hurts to explain it again. When you use Response.Transmitfile for transmitting a file to the client it gets the name of the current aspx file.
So how do you set the default name of the file which is downloaded to the client? It is actually very easy. The following code downloads a word file "rapport.doc" to the client:
string pathFileName = @"c:\documents\rapport.doc";
string fileName = System.IO.Path.GetFileName(pathFileName);
Response.ContentType = "application/msword";
Response.AddHeader("Content-Disposition", "attachment; filename=" + fileName);
Response.TransmitFile(pathFileName);