This depends on your terminal emulator, but essentially it's just printing out control sequences to the console.
Now I'm not clear on what control sequences CMD.EXE responds to (I haven't one available to try this on) but I hear there's a command called TITLE which sets the title of the window. I tried piping TITLE's output to a file, but apparently, it doesn't actually set the title by outputting control characters. The START command can take a parameter which is title of the window followed by the command to run in the window. So something like
cmd TITLE "lovely Application that is in a command window." && "java" MyApp
REM or
start "lovely Application that is java based." java MyApp
Personally I would just bundle the whole thing with a shortcut where you can edit the properties such as the current directory, the command, it's parameters, and the window size, style and title (if I remember rightly). Give it a nice icon and people will use it.