View > Header and Footer. Click the "Switch between Header and Footer"
button to get to the footer. Click the Insert AutoText button and choose
"Filename and path".
This inserts a field. You can update fields by clicking on the field and
pressing F9. Or, ctrl-a F9 to update all fields in the document. Also,
make sure you tick the box at Tools > Options > Print > Update Fields.
This ensures the field will be updated before you print.