First, you have to create a new account (if you don't have). Visit New Relic site.
You can use Server Monitoring even if the PHP agent is not installed on your server, but if you'd like to tracking concrete5 performance, you have to install a PHP extension made by New Relic first. Follow the official documentation.
The only thing to fix the transaction name on APM report is just installing this add-on. Super-easy.
You can define App name on New Relic report through concrete5 config file. Please create application/config/newrelic.php and write configuration as below.
<?php return array( 'site' => 'Newrelic App Name' );