UPDATE 2024 for Mac
On macOS, you can quickly find the opened file location on your machine by navigating to
File > Properties
"File > Properties" in Microsoft Word's upper menu.:
In the opened dialog window, the required information will be available on the "General" tab.:
Here is a screenshot for illustration:
The above screenshotscreenshots were made using the latest (at the time of writing this) version of Microsoft® Word for Mac - 16.85.2.