I think there are two meanings to this title of this excellent short story, the first being literal and the second being symbolic. Firstly, the open window is what Vera uses as the basis of her story to trick the susceptible Mr. Framton Nuttel. It is the open window that Vera uses to start off her chilling story, and it is the return of her uncles through that very open window that triggers Framton Nuttel's hasty departure. Of course, Mrs. Sappleton plays into Vera's hands with her reference to the open window:
"I hope you don't mind the open window," said Mrs. Sappleton briskly; "my husband and brothers will be home directly from shooting, and they always come in this way."
Yet, to consider it from another perspective, I think there is a way of reading the title symbolically. The open window can likewise refer to the way that Framton Nuttel leaves himself open or exposed to be tricked by Vera. There is something about his gullible nature that results in him being tricked very easily. Thus the title could also be seen to refer to Framton Nuttel and to act as a warning to readers, so we do not open ourselves to being tricked in the same way that he did.