Well, I dug out this question because I accidentally found another way for getting the paths of files today and I can't help posting it as an answer somewhere XD.
It should be mentioned that, this help page has already told us some ways to insert paths without any Mathematica code while it doesn't tell us that there's a even simple way to get the paths of the files, that is:
Ctrl+C and Ctrl+V.
Now the whole process will be quite simple, first input this incomplete code in the notebook:
Import /@ {}
Then find the files you suppose to import and select them with Ctrl+A, Ctrl+click, Shift+click, etc. Press Ctrl+C and move to the code above, place the cursor between the {} and Ctrl+V, run the code and you'll get the expected result.
I think this solution is as fast as, or even faster than the solutions with Mathematica codes especially when we only want to input a single file or the name of the target files are not so regular.
Just a snapshot:

This solution is only tested in Windows Vista 32bit and Mathematica 8.0.4, I'm not sure if it will work with other versions and operation systems.