German uses "zu" if an infinitive clause is used as part of a bigger grammatical construction, but not if it stands on it own. An infinitive clause is not a sentence in itself, as it does not have a predicate. So an infinitive clause that stands on it own is only acceptable in a context that doesn't require complete sentences. Titles are one example of a context that doesn't require a complete sentence. The example by Heiko Jakubzik "Es wäre gut, eine Freundin zu haben" uses "eine Freundin zu haben" as part of a bigger construction, so the "zu" is required. In this case, the bigger construction is a complete sentence, but that is not required. You can have a title like "The need to have a girlfriend", which would be "Die Notwendigkeit, eine Freundin zu haben" in German. A non-title example would be "Mein Ziel für das nächste Jahr: Weniger Alkohol Trinken." ("My goal for next year: To drink less alcohol.") Thus, I consider "no zu in a title" just as a rule of thumb, with its limits explored in this answer.