On the one hand, this is pretty obvious, right? It's a poem about a skylark, and that's what it tells you in the title. On the other hand, what about the first word? Why would you write to a bird? Or talk to one? Okay, maybe we've been guilty of talking to the occasional cat, but we'd never write a poem about it. (Okay, maybe we do write poems to cats, but no one will ever see them.)
Anyway… this seemingly crazy idea of writing to a bird is actually part of an old poetic tradition, called the ode. An ode is a poem designed to praise a particular person or thing. They were especially popular in the Romantic period. John Keats wrote odes to practically everything, including birds ("Ode to a Nightingale"), pottery ("Ode on a Grecian Urn"), muppets ("Ode to Elmo"—okay, we made that last one up). The point is that, as soon as a reader in Shelley's time saw this title, she would have known the specific type of poem she was about to read. She would have expected something personal and heartfelt, but also philosophical. The ode gives the poet (and the reader) a chance to reflect on the relationship between humans and the outside world, nay, the universe! (You know—the easy stuff.)