You can display this dialog at any time. If no shortcut item is selected, this dialog displays empty fields. You can modify the file name for the imported web file BEFORE it is actually imported; the file name is indeed a reserved name for the eventual file. If the file is already imported and you want to change the name, you have to reset its status to "2- Named" (using the Revert > Named button) then you have to re-import the related web file.
Repeat the above three steps for each shortcut item that needs to be modified.
Repeat the above two last steps for each shortcut item. For consecutive shortcut items, you can use the accelerator keys, for example ALT-N and ALT-K for activating the Next then the OK buttons.
Note: If, you do not use the ENTER key as instructed above, then, as you expect, you would have to select the "6-Used Defined" as naming policy then click the OK button.