Never have worked with inserting info directly into an excel file, but here's how to do it with access. Assuming you have a Database and table with column named "fileName" created already.

Code:
' define the necessary variables
strPathToFolder = ' insert folder path
strDBPath = ' insert path to database 
strTableName = ' insert table name

' instantiate all necessary items
Set objFSO = CreateObject("Scripting.FileSystemObject")
Set objFolder = objFSO.GetFolder(strPathToFolder)
Set objFolderContents = objFolder.Files
Set objConnection = CreateObject("Adodb.Connection")
Set objRecordset = CreateObject("Adodb.Recordset")

' open data
objConnection.Open "Driver={Microsoft Access Driver (*.mdb)}; DBQ=" & strDBPath
objRecordset.Open strTableName, objConnection, 3, 3, 2

' now loop through the contents of the folder
For Each objFile in objFolderContents
  strFileName = objFile.Name
  
  ' and add each to the table
  objRecordset.AddNew
  objRecordset("fileName") = strFileName
  objRecordset.Update
Next

' clean up
Set objRecordset = Nothing
Set objConnection = Nothing
Set objFSO = Nothing
Set objFSO = Nothing
It may be ugly, but it works!