"Musée des Beaux Arts" is sort of like an occasion piece – that is, Auden could have called it something like "I happened to be at this art museum and saw this one picture and this is what I thought…"
Why didn't he call the poem that? Well, for starters, it's a lot harder to type. Try it sometime. For another, naming the poem after a particular museum (it happens to be in Brussels, Belgium) makes it a bit like inviting us into the speaker's world. Believe us, it's the only invitation we'll get. After this, he's all philosophy and free-thinking. He's not so interested in helping us figure out things about him – but we'll talk more about that in our "Speaker" section. You could think of this as the breadcrumbs that Hansel and Gretel use to get themselves back home (OK, we know that the breadcrumbs didn't work so well. But run with us for just a second.) Auden wants to spend a few minutes at the beginning of the poem thinking big – so the title helps to ground us while he thinks about life, the universe, and everything.
Then again, this title hearkens back to all the poems that poets wrote immediately after seeing/doing something – like "Upon Reading Chapman's Homer" or "Lines Composed a Few Miles above Tintern Abbey, on Revisiting the Banks of the Wye during a Tour, July 13, 1798." It's like Twitter for the early twentieth century. Want to know what I've just been up to? Read the title of my poem!