Create a directory, if you haven't already, for template customisations. Then tell CiviCRM about it at Administer » System Settings » Directories which is at
Find the template name of the form that's being used from the comments in the page source of the page(s) you need to change. e.g. for all contribution pages its
Create the same directory structure in your custom templates directory and then place a file called
Main.extra.tpl (using the example form name from (2)) and in that file place something like
<script>document.title="You're still on my website :-)";</script>
.extra.tpl files are processed after the main template file is, so this script will run and set the window's title.
It's a hack, and in this case sounds like it shouldn't be necessary, but it's something you can use.