1 Monty: Dad!
1 Prof. Jones: Junior!
2 Monty: {untying Prof. Jones} Don't call me Junior! I like "Montana".
2 Prof. Jones: We named the dog Montana!
3 Sallah: You're named after the dog?
3 Monty: It was better than my real name...
4 Prof. Jones: North Dakota Jones Junior.

2012-01-11 Rerun commentary: Obviously this is a joke on the similar scene in Indiana Jones and the Last Crusade.

Given what we later learn about the naming tradition for sons in the Jones family, it now seems a bit weird that Professor North Dakota Jones would have named his dog Montana. I guess maybe he figured he'd never have children or something, and then he met Mrs North Dakota Jones soon after getting himself a dog.