You can suppress the report filename from the Report Preview window by following these steps (works in all versions of VFP):
USE .FRX ALIAS RptFile REPLACE Unique WITH .T. USE IN RptFile REPORT FORM PREVIEW
Now, instead of the filename in the title bar of the preview window, you'll get "REPORT1", "REPORT2", etc (sequentially incremented each time you preview).
If you have SET RESOURCE ON, then the preview window position will still get stored to the FoxUser file, but not under the report's filename. Instead, it will be referenced by "REPORTx", where x is the sequential number indicated above. Therefore, you may want to SET RESOURCE OFF before running your report.