Okay differences between 4.0 and 4.4 are definitely having their fun with me. There is no "Layer" drop-down on the far right. I do have a drop-down on the top middle, but it's labeled "Lines". When I choose it, I get the window you're displaying that states, "Lines" and "Color". What I am NOT able to do is double-click on either feature to rename them - yet. Expect an EDIT should I stumble unto what I need to do - but I really hate the waste of time through trial and error. I know it's not your fault as I'm using a newer (more advanced, friendlier - sarcasm) version.
EDIT:
Finally. The only way I could get the opportunity to change the layer names was to go to the "Outliner" editor, click on "Stroke", then "the "Stroke" data and there behold were the layer names that I could LMBx2 and change the name(s) and apply the pertinent strokes to each layer.
I'm sorry, but that took entirely too much time fidgeting around. Ugggh. Yes, I learned something else new, but damn Sam. I guess I just hope this information helps someone else down the road.
Ohhh, and as an added bonus - [CTRL]LMB while drawing brings up the eraser. For those inquiring minds wanting to know. Maybe that's in the tut. I haven't gotten that far yet, too tied up in this latest venture. lol.
EDIT 2.0:
I see as I was on the "Outliner", had I clicked on "Data" under the "Properties" editor there is a spot called "Layers" in which you can change the names by double-clicking.
It's bed time and I haven't finished this tut yet.
*sigh*
In 4.3 They added layer groups, which kind of broke the renaming in the header. You can still rename thru outliner, data tab of properties editor, and the channel region of the timeline and dope sheet editors. Thru the timeline editor is my preferred method. You can pull up the channel region by clicking the arrow head on the left hand side or through the view menu. I hope they add the ability drag and drop layers into layer groups in the header.