I don't know if you can do that directly from Explorer, but you can open a command prompt in that directory (shift and right click on the folder in Explorer to get a menu with that option) and create a file containing the list of files with:
> dir /b > my_list_of_files.txt
My_list_of_files.txt will then have a list of all the files in that directory (including itself, so you might want to edit that out, or create it in a different directory).
--Rob |