In MS Windows it works like this:

1. Hold the "Shift" key, right-click the folder containing the files and select "Open Command Window Here."

2. Type "dir /b > filenames.txt" (without quotation marks) in the Command Window. Press "Enter."

3. Inside the folder there should now be a file filenames.txt containing names of all the files etc. inside this folder.

4. Copy and paste this file list into your Word document.