If no explicit setting is given for WindowTitle, no name will be displayed for a dialog.
The additional option Modal specifies whether the dialog created by CreateDialog should be modal.
With the default setting Modal->False, other windows can be used even when the dialog is open. With Modal->True, no other Mathematica windows can be used until the dialog has been closed. If there is no mechanism for closing the dialog, Mathematica will effectively freeze.
If DialogReturn is executed, for example as a result of clicking a button, within the window created by CreateDialog, then the window will be closed.