Im using AutoCAD 2008 but the same approach will apply,
Run the data extraction command. i'll assume you can set up the sheet selection and the objects for extraction section. you should then be on the select properties page. to display the name of the drawings that the block is contained on, scoll down to Property "file Name" exactlay as it is written in the quotes its category type will be "Drawing". Make sure this is ticked. (you may also tick the "File Location" and this will also add the path or server location of that drawing file.) Slect all of the other relevant items for extration and carry on as normal.
Hope this helps
Diarmuid
