Which program is it?
If you started the program from the GNOME menu, you can usually find the name of the program by going to "Help -> About" in the program's internal menus. You can also go to "System -> Preferences -> Personal -> Sessions" on the GNOME menu. Click on the "Current Session" tab to see a list of programs running on your desktop.
If you started the program from the command line, the name of the program is the first "word" of the command (everything before the first space, which might include dashes or underscores).
Which file is it?
If you know which command was run, but don't know the exact file name this corresponds to, try this on the command line:
or if you are running tcsh:
The first line in the results is the one you want.
$ which ssh /usr/bin/ssh
Which RPM is it?
Once you have the name of a file or directory, you can determine which RPM owns it using "rpm -qf". For example:
$ rpm -qf /usr/bin/nautilus-file-management-properties nautilus-2.25.91-2.fc11.x86_64
Which component is it?
In Fedora, a given "source" RPM can produce multiple RPMs in the distribution. Bugzilla groups bugs according to the "source" RPMs only. Once you have the RPM name, you can get the "source" RPM name (which might be different) using "rpm -qi". For example, run "rpm -qi glibc-common" and then look for the line that says "Source RPM:" In this case, it's glibc-2.9.90-7.src.rpm, which means the component name to use in Bugzilla is "glibc" (everything before the dash before the version number).
Note that if the "Vendor:" line does not say "Fedora Project", you may need to report the bug to a different bugzilla.
Sometimes it can be unclear whether a bug is in the main application or a plugin or library. In these cases, just make your best guess. A triager or developer will reassign the bug if necessary.