Hi kyjac85,
Try the following revision to the macro. I've taken out the SendKeys reference (it may be that your keyboard intercept doesn't recognise it) and added code for the new line:
Code:
Sub InsertData()
Application.ScreenUpdating = False
With Selection
.Text = Split(Split(ActiveDocument.Name, ".")(0), "_")(0) & Chr(11)
.Collapse wdCollapseEnd
.Paste
End With
Application.ScreenUpdating = True
End Sub