If you want the filename in the document then insert it with one of the
following macros

Sub InsertfNameAndPath()
   Dim pPathname As String
   With ActiveDocument
       If Not .Saved Then
           .Save
       End If
       pPathname = Left$(.FullName, (Len(.FullName) - 4))
   End With
   Selection.TypeText pPathname
End Sub

Sub InsertFnameOnly()
   Dim pPathname As String
   With ActiveDocument
       If Not .Saved Then
           .Save
       End If
       pPathname = Left$(.Name, (Len(.Name) - 4))
   End With
   Selection.TypeText pPathname
End Sub

If you want it in the Word Window header see Jezebel's answer
http://www.gmayor.com/installing_macro.htm