In what file are the names (of commanders and such) stored ?

[Aezeal]

However if you want to change lists of names in game or add names to certain lists you can find the appropriate commands in the modding.pdf file which comes with the game.

The needed commands can be found in 2 places
7.15 to set the list from which a creature will have it's name selected
and in
11 to edit or clear these lists or add names to certain lists.

Personally I'd not mess around in the exe file and these mod commands are meant to be used for modding (and means you can just turn the mod on or off and not change your whole game) setting specific names for commanders or other uniques can't be done (well not by me at least) in this way though.