The text that displays is the contents of the alt tag inside the img tag in your HTML. If you go to the Export tab of the Modify dialog for an image in XPress, you'll see the Alternate Text field. By default that gets the full file name. You can either delete it, or make it descriptive, such as Logo, Product Name, and so on.
If you delete it XPress should still make alt tags for all images, but they will be empty (just a set of quotes) as you see for things like spacer gif graphics XPress inserts automatically. To be good HTML, the tag should be present even if empty. And while it is annoying for IE to display those strings by default (as are so many other things about IE, unfortunately), alt text is very important for visually impaired browser users, users who may be using text based browsers, or users who suppress image display until/if needed. Personally, I always attach descriptive alt text, and don't worry about what bad browsers do.
For more information see http://www.w3.org/TR/REC-html40/struct/objects.html#h-13.8 and http://www.w3.org/QA/Tips/altAttribute