In XP, one had the Explorer and also IE showing the Window titles. However, this feature has been done away with, probably due to redundancy. But you still get to see it in IE7.But not in Vista’s Explorer.
If you want Make Explorer Show Window Titles in Windows Vista you can use simple utility called AeroBar.
Download AeroBar from here
All you need to do is download and run the executable, and if you like the effect then add the utility to your startup group.
If you want to stop this application from running you will need to use Task Manager, find the Aerobar.exe process in the list, and then click on End Process.