He has received the first names of Charles Jean Philippe Joseph Marie Guillaume and will currently be known as HRH Prince Charles of Luxembourg. He is second in line to the Throne of Luxembourg.
Without further information, the baby's first name is that of a great-uncle of Guillaume and the middle name of Stéphanie's Grandfather. His next name, Jean, is of course the name of the late Grand Duke, Guillaume's Grandfather and Philippe is the name of Stéphanie's late Father. Joseph is presumably the masculine form of Joséphine, Guillaume's late Grandmother, wife of Grand Duke Jean.
Prince Charles's Coat of Arms may not be assigned until he reaches his majority at the age of 18. We can speculate that, if his Grandfather is still the reigning Grand Duke at that time, he would carry similar Arms to his Father but with five Points to his gold Label. Otherwise, he will simply take on his Father's Coat of Arms in due course..