You don't mention which version of Word you're using (or even if you are
using Word, for that matter), but here's how it's done in Word 2007:
Select the Insert tab on the Ribbon and click "Quick Parts"; then select
"Field...". In the dialog that appears, scroll down in box under "Field
names"until you find "FileName" and select it. Choose your preferred format
form the "Format" box if desired and then tick the box that says "Add path
to filename". Click "OK" and you're done.
Previous versions of Word will be similar but you'll probably be looking for
"Field" on the "Insert" menu.
