The Songs of Innocence and Experience resembles a children's book, so it's titles are usually simple and straightforward. Case in point: the poem "The Little Boy Lost" and its nail-bitingly suspenseful sequel, "The Little Boy Found." Many of its titles are just nouns, often preceded by the word "The." That's what we've got with "The Lamb" and with its counterpart, "The Tyger." A lamb is both a stock image of pastoral country life and a symbol for Jesus Christ.
As for the collection to which the poem belongs, the full title is Songs of Innocence and Experience: Shewing the Two Contrary States of the Human Soul. Innocence and Experience are set against one another, which seems to imply that they can't exist at the same time. They can, however, exist at different times in the same soul. For more on Songs of Innocence and Experience, visit our "In a Nutshell" for this poem. You should also check out the illustrated title page. The illustration depicts Adam and Eve fleeing from the Garden of Eden, which is pretty much the perfect symbol for the contrast between Innocence and Experience. Innocence is living in blissful innocence in the Garden; Experience is biting from the fruit of the Tree of Knowledge. Interestingly, the Adam and Eve look as though they are being crushed by the weight of the title!
Many, but not all, of the poems in the Songs of Innocence have a counterpart in the Songs of Experience. You might even be confused, for example, to discover that Blake wrote two poems titled "Holy Thursday," one for each book.