The One Where Monica Gets a Roommate - S1-E1
Trivia: Phoebe singing giant pigeon was a deleted scene from the pilot. When it was used years later in DVDs with extended footage the audio was not very good and they had to get Lisa Kudrow to redo the audio. (This information can be heard on extended DVD audio commentary for the pilot).
Answer: The painting doesn't have a name, and if it does it is never mentioned in this episode.