Most job applications are going to require electronic copies of your resume and cover letter, whether you're uploading them to an online application or e-mailing them to someone. How you save and label those files can send small but important messages about you as a candidate.
First, I always suggest saving your files as PDFs.
If you save it in an editable format like a Word file, it's possible that the resume will end up looking different — in a way you can't control — when it's opened on the other end. You don't know which software, and what version of that software, a hiring manager has on their computer, but just about everyone can open a PDF. PDFs also look more polished and final than an editable file.
Second, save the files as "[Your name] resume" and "[Your name] cover letter."
For one thing, in many cases the hiring manager will save everyone's resumes and cover letters to a single folder on their computer, and this way they can easily find your files when reviewing their list of applicants. It also ensures your files won't accidentally get saved over by another candidate who also named their file "[Company name] resume."
The other reason to put your name rather than the company's name in the file name is that it sends a slightly different implied message to the hiring manager. "[Company name] resume" reminds the hiring manager that they're getting just one of many variations of your resume that you've sent out and that their company may or may not be where you really want to work. "[Your name] resume" is framed in the hiring manager's terms and sends the message that you are prepared to stand out as an individual among the list of different applicants for the job.
Of course, you do want to be tailoring your resume specifically to each company that you apply to, so how are you supposed to tell the dozen different "[Your name] resume"s apart on your own computer? I have a folder on my computer for all my job applications, and each new company I apply to gets its own folder. If I apply to multiple jobs at the same company, they each get a folder with the position title. Then I know that the specific "Jessica Wode cover letter" and "Jessica Wode resume" files in that folder are the ones tailored to that position.