You'd do this through the [Aura Component Bundle Design Resource][1]. Specifically, the `label` attribute:

> Sets the label of the component when it displays in tools such as App
> Builder.
> 
> When creating a custom Lightning page template component, this text
> displays as the name of the template in the Lightning App Builder new
> page wizard.

In this below example, `Hello World` would display in your screenshot if you added this `.design` file to your aura bundle.
```
<design:component label="Hello World">
    <design:attribute name="subject" label="Subject" description="Name of the person you want to greet" />
    <design:attribute name="greeting" label="Greeting" />
</design:component>
```

  [1]: https://developer.salesforce.com/docs/atlas.en-us.lightning.meta/lightning/components_config_for_app_builder_design_files.htm