If you want to use VBA, here's how I would do it.
Code:
Application.CurrentProject.Name
This will result in the filename as a string with the .extension.
If you don't want the .extension, you could use something like this:
Code:
Dim strFileName As String
Dim intWhereIsThePeriod As Integer
Dim strFileNameWithoutExtension As String
strFileName = Application.CurrentProject.Name
intWhereIsThePeriod = InStr(strFileName, ".")
strFileNameWithoutExtension = Left(strFileName, intWhereIsThePeriod - 1)
The variable names are a little ridiculous, but it's to give you an idea of what they do.
From there, I would add this and trigger it to the loading of your report.
Code:
Me.txtReportHeader = strFileNameWithoutExtension
Where txtReportHeader is the name of the text box you want to fill with the name of your file.
If you have any questions about how you would implement this, let me know and I'll see if I can help out.