I have many MP3s on my hard drive, and I'd like to download the filenames
directly into Excel. Is there a quick way to do this? Or would I have to
copy-and-paste them one at a time?

If they're in one folder, one way to do this in Win98 is to use a batch
file like this:

@dir %1 /-p /o:gen "%temp%\dir.txt"
notepad "%temp%\dir.txt"
del "%temp%\dir.txt"
exit

Then add a menu command to folders, pointing it to the batch file.

With this setup, I can right-click on a folder, invoke the menu command,
and get a text file with the list of filenames.

After cleaning it up a bit, the text file can imported by Excel.

If you want a different-looking list, look into switches for the DOS "dir"
command to get variations. For example, see:
http://home7.inet.tele.dk/batfiles/msdos7/

If they aren't in one folder, you might set up a folder using Windows
"Find" looking for ".mp3". Select the entire list (control-A), drag with
the right-mouse-button to a newly created folder with "Copy shortcuts
here". Then use the method above to get the list.