Excellent, thanks. That was what I needed.
In case there is someone else interested in this thing, this is what I learned in the las 10 '.
The caption of the preview window is composed of 2 strings. The 2 strings are the properties

oPreviewObject.Caption = "My preview object"
oReportListener.PrintJobName = "My PrintJobName"

This is the code when the preview object is created

* oPO - create the Preview object
oPO = NULL
DO (_REPORTPREVIEW) with oPO

* set initial properties of the preview object
oPO.caption = "My preview object"

So, the caption of the preview window will be

oPO.caption + " - " " oReportListener.PrintJobName

and that is

"My preview object - My PrintJobName"

In case that any of those 2 properties are empty vfp will put on the window

"PreviewWindow - MyReportName.frx"

Regards
Hernan