The county name is not given by default. You can, however, force MTPE to include it by making County one of your ballot styles (or the only one if you do not want House, Senate, etc... info in your street index). To make County a ballot style, choose P&E Mgt-Settings, click on the Ballot Styles tab, and Add the County layer (click OK to save the new settings and close the dialog box). Be sure to run P&E Mgt-Update Ballot Styles before doing the street index so the street index option Precincts and Ballot Styles is not grayed out.