If specifying a file to send from disk the filename will be automatically determined by the component. For instance if you set:

as2sender.EDIData.Filename = "C:\\myfile.txt";

The file will have the name "myfile.txt".

If you are sending data without using a file, or if you wish to explicitly specify the name your trading partner will see you can set the EDIData.Name field. For instance:

as2sender.EDIData.Name = "myname.txt";