You can't, at least not with the Windows shell.
It might be possible to add "set Xterm title" escape sequences to
%PROMPT%, but you would need a different terminal emulator (perhaps PuTTYcyg or something from SfU), as Windows Console does not support escape sequences.
Alternatively, find another shell which can use the Windows console functions to set titles.
These are often confused in Windows contexts, so...
shell reads and interprets input;
terminal, terminal emulator, console displays text-based programs (including the shell) on your screen;