Use the text tool.

That's the tool with the letter "T".

Larry, thanks, I know how to add text manually. Is there an automated way?

You're using full Photoshop so you can create an action that adds the text to the print, but not the file name because the same text will get added to each print. But if you're using the action to do other things like size and format the images for printing, you can put a stop in the action to insert the specific text you want to add for wach print the action is run on.

You might be able to have a script written that takes the file name and inserts it into the text. I've personally had scripts written that take the long pixel dimensions and add it to the file name.

There is a very nice printing utility from Lasersoft that's cheap and supports a varied and near automatic, easy way to add filenames, as well as copyright to print output. In addition it is extremely easy to size output as well as color manage printing.

It can be be tried out by downloading a demo copy at SilverFast.com It is called Silverfast Print Tao, and was reviewed a few months ago in Shutterbug.

On the file menu under Automate, choose Contact Sheet II. Set the size of the document. In the Tumbnails section, choose Column [1] Row [1] if you want a single image on each sheet. Finally click "Use Filename As Caption" choose font and size.

Hit OK and it will generate a document with the filename at the bottom. Depending upon the size you choose for the document, this will be one very big thumbnail per sheet!

At the top of the page, you can choose either open documents or contents of a folder.

This does not apply to P/S, but with Paint Shop Pro (versions 8 through XI) there are several scripts (similar to P/S Actions) that have been written by users with which you can record much of the file information, including EXIF,
that you can record onto the face of a print--in user selectable placement and colors.

And yes, this can be applied as a batch process.

I also suspect there are some Photoshop Actions which will do the same thing.