With a title like that, you're probably wondering where Sherlock Holmes had gone if he is now "returning." Cruise in the Bahamas? Prison? The store? Holmes totally did better than all of that though: like zombies, soap opera characters, Tom Sawyer, and the New Kids on the Block reunion tour, Sherlock Holmes returned from the dead. Or from being presumed dead at least. It's complicated. Suffice to say, Conan Doyle changed his mind and after a publishing break that lasted nearly a decade, Sherlock Holmes returned for a series of new stories.
The thirteen stories collected in The Return of Sherlock Holmes all have titles that give some clue as to what the story is about or where it is set, in typical Sherlock Holmes story fashion. So "The Adventure of the Three Students" is about an adventure with three students. Not all the titles are so obvious though; some give hints as to a main clue in a case, like "The Adventure of the Dancing Men," which refers to a type of code language that Holmes has to crack in order to solve the case. The titles of the stories here are generally highly descriptive and informative; you have a rough idea of what you're getting whenever you start a story.