I would generally suggest avoiding the use of Excel to edit CSV files - it can mess up some of the values there. A CSV file is generally a plain text file, that simply has a bit of syntax for separating elements. You don't need Excel to either read or write to it.
What I would recommend is creating a new data table with as many columns as you have in the CSV file + 1. Then read the CSV file, iterate through its rows, and insert the rows to the new data table one by one. As you do that, add the file name as the last item in the row.
Finally, when the loop ends, write the data table to the CSV file by using Write to CSV file, overwriting previous contents.