First, you need to import a few more modules:

from pygame.locals import *
import sys

You should also change line 6 to:

pygame.display.set_caption("Number One")

The reason that your windows disappears is because the game exits immediately as you have no game loop.
You should add this:

fpsClock = pygame.time.Clock()
while True: # Main game loop
   for event in pygame.event.get():
      if event.type == QUIT: # This is when you close the window
         pygame.quit()
         sys.exit()
   pygame.display.flip() # Update the display - not actually
                       # needed here but it is in most games

   fpsClock.tick(20) # Change the number to edit the speed of your
                     # game in frames per second.

Hope I helped! :)

Here this is what I found on the internet,

import pygame
background_colour = (255,255,255)
(width, height) = (300, 200)
screen = pygame.display.set_mode((width, height))
pygame.display.set_caption('Practice')
screen.fill(background_colour)
pygame.display.flip()
running = True
while running:
  for event in pygame.event.get():
    if event.type == pygame.QUIT:
      running = False