Far as I can tell, doing that requires writing a new save/load screen. Never messed with the screen system in renpy before, but I'll see if I can figure it out.
EDIT: Alright
@561397, here's what I was able to whip up. It's a pretty hacky and ugly solution, but it works. Unzip and drop this screens.rpy file into your /game folder. Now, when you open the save screen and select to save a file, you'll get a prompt where you can name the save, and it'll appear on the save/load screen from then on.
To name your existing saves, load each save, then immediately re-save it to the same slot, and you'll get the naming prompt. Note that you won't get the prompt for quick and auto saves, they'll be named with whatever the last "real" save was named.