A few ideas:
In R2002, on the plot dialog is a choice for "Plot Stamp" and a button for its settings. Of course, that only helps for printed output.
You could make a Lisp command or macro button (possibly redefining the "Save" button) to put the file and path on each drawing, but the insertion point would be constant for all drawings, which might not look right unless all your drawings had, for instance, the bottom left corner of the title block at 0,0,0.
You could add to the Lisp command or macro button to ask for a location first, but it would not be automatic then.
There are better minds than mine here - let's see what they say.