They Fixed this in CS4 Comm. Dist. Yay!!!!

Pasting and saving untitled.xxx
I love the idea behind the new pasting images (roundtrip) feature with “save for web” compression options. However, when you paste from the clipboard and create a file name and press save Dreamweaver generates “untitled.xxx” instead of the suggested name.

Uses the same name and writes over
What is nice is that it consistently uses the untitled.xxx name, so a change in the file name using Dw site cache will fix the image and the link. But if you do not change the file name and then try to paste a new image, it will write over the original untitled.xxx file.

Why it should be fixed?
So that we do not lose work from overwritten files, and to speed up productivity. If I am writing a tutorial with screenshots, for example,  it takes a lot of time to paste a series of images in by following the above fix method.

Workaround
Appears that you can supply the name in the “URL:” field (instead of the “Save as” field), and it will save the file properly.