Originally Posted by Redlemon

Drop out to a command prompt. Change to the directory where all of those files live. Then type:
dir /b /on > list.txt

That will give you an list of all the files in that directory; "/on" puts them in alphabetical order; "/b" puts in in 'brief' format, so you don't get all the filesize and other stuff; "> list.txt" directs the output to a text file, so you can load that file in Word and print it.

If you type:
dir /?

it'll list the other options that might suit you better.