If you add the field to the document template, all new documents will contain it without needing recourse to the insertion process.

An alternative insertion process is to open the footer, type Ctrl-F9 to create a pair of field braces (ie {}), then type 'FILENAME \p' between them, thus {FILENAME \p}, then press F9 to update.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]