They FIXED this in CS4 Comm Dist.

When creating a new style and an external stylesheet the file is named as untitled.css, instead of the name provided in the save stylesheet as dilog box. The “URL” field appears to ignore the name provided by the author in the “Save As” field. Thankfully the untitled.css is used for both the saving of the file, and the link created in the HEAD of the document.

When I click on the “URL” field, it actually puts my ”Save As” field back to untitled. 

Current Workaround: If you have your site cache enabled in the Dw Site Definition, you can use its update feature to change the name of the file in the files palette. or you can manually change the file name and the path in the HEAD of your document.

Also found, through my students, that you can supply the name of the file in the URL field, and it should update the save name and save it properly. Still buggy, and needs to be fixed.