After researching a little bit msdn i think you should try this way :
1) you use the COleDataObject::GetFileData function
COleDataObject::GetFileData to get the pointer to FORMATETC structure
2)use the IDataObject::GetData with that pointer to get the pointer to STGMEDIUM structure
FORMATETC
IDataObject::GetData
STGMEDIUM
3)and then just get the lpszFileName from the STGMEDIUM structure.It should contain the path and the name of the file.
I hope this will help you :)