You should "publish" the form to a network shared directory, and then users can have a shortcut to this XSN. Double-clicking this shortcut will open the form for fill out.
It says "Form1" because that is the default name of the file that you save after filling out the form - much like when you open Word the name is "Document1", etc. Changing the default name has been discussed several times in the forum, but I personally do not find it very necessary. Users are accustomed to this behavior as it is standard in all MS Office products.
Matt Faus / Microsoft InfoPath MVPQdabra® Software / Streamline data gathering to turn process into knowledge