This feature is not immediately obvious for refugees from Windows, but saves lots of time. The title bar for windows in OS X does more than just identify the window. Try right-clicking the title. (Or Control-click or Option-click if you only have one mouse button.) The document will display a stack showing its path. This is very useful for opening the containing folder. If you need to paste the file name into a text document, just drag the icon in the title bar to your text file.