Explain the title of the story "The Open Window."

The title seems to emphasize the importance of the open window in the story. It also sets a somewhat ominous tone. It suggests that something or other is going to cause trouble from the outside. Something is going to have to come in through that open window or the title wouldn't have been used for the story.
Vera takes advantage of the fact that there is a big French window standing wide open rather late on a not very warm day. The fact that Mr. Sappleton wore his white waterproof coat when he went hunting shows that the weather is overcast and threatening to rain. Vera gets Framton Nuttel's attention focused on the open window when she tells him her ghost story. The mischievous girl knows that her aunt will be sitting and looking towards the open window while she waits for her men to return for tea. 
The open window plays a prominent role in the story. It creates a reason to explain that the hunters are accustomed to leaving and departing through that window, so Framton will understand that the "ghosts" are heading straight towards him rather than entering through a side-door or backdoor in their wet clothes and muddy boots. 
The title focuses the reader's attention on the open window and gives it special and perhaps ominous significance. It dominates the setting in which the entire story takes place. Readers will remember the sight which caused Framton Nuttel to panic and flee from the house.

In the deepening twilight three figures were walking across the lawn towards the window, they all carried guns under their arms, and one of them was additionally burdened with a white coat hung over his shoulders. A tired brown spaniel kept close at their heels. Noiselessly they neared the house, and then a hoarse young voice chanted out of the dusk: "I said, Bertie, why do you bound?"