This has been discussed before. See What properly goes into the "caption" of a message box?.
Follow the User Experience Guidelines for your platform. In this case: Windows, see http://msdn.microsoft.com/en-us/library/windows/desktop/aa511267.aspx, under the section named "Title".
Use the title to identify the command or feature from which the error originated. Exceptions:
- If an error is displayed by many different commands, consider using the program name instead.
- If that title would be redundant or confusing with the main instruction, use the program name instead.
Don't use the title to explain or summarize the problem—that's the purpose of the main instruction.
Ps.: and this is specific for your question: Don't use things like a period, a quesion mark, exclamation mark etc in a title.