This should do it. Depending on what your doing you may want to alter it so it wont add the filename field if it already exists. etc.
Public Sub UpdateFiles()
    Dim fso
    Set fso = CreateObject("Scripting.FileSystemObject")
    Dim xl As New Excel.Application
    Dim wb As New Excel.Workbook
    Dim lastRow
    Dim lastColumn
    Dim folder
    'Change this folder to the one you want.
    Set folder = fso.getFolder("c:\notbackedup\")
    'Uncomment to watch/debug code
    'xl.Visible = True
    For Each f In folder.Files
        Debug.Print f.Name
        If (f.Name Like "*.csv") Then
            Set wb = xl.Workbooks.Open(f.Path)
            lastRow = wb.Sheets(1).UsedRange.Rows.Count
            lastColumn = wb.Sheets(1).UsedRange.Columns.Count
            wb.Sheets(1).Range(ColumnLetter(lastColumn + 1) & "1").Value = "FileName"
            wb.Sheets(1).Range(ColumnLetter(lastColumn + 1) & "2:" & ColumnLetter(lastColumn+1) & lastRow).Value = f.Name
            wb.Save
            wb.Close True
        End If
    Next
    xl.Quit
End Sub
Function ColumnLetter(ByVal ColumnNumber As Long) As String
    Dim n As Long
    Dim c As Byte
    Dim s As String
    n = ColumnNumber
    Do
        c = ((n - 1) Mod 26)
        s = Chr(c + 65) & s
        n = (n - c) \ 26
    Loop While n > 0
    ColumnLetter = s
End Function