I saved my document master.docm (Word Document with Macros): It gives the directory of the good current document:
CurDir() => C:\users\rgillooly\desktop\MailMerge
ActiveDocument.Path => C:\users\rgillooly\desktop\MailMerge
ThisDocument.FullName => C:\users\rgillooly\desktop\MailMerge\master.docm
If saved as master.dotm (Word Template), it gives config directory:
CurDir() => C:\users\rgillooly\AppData\Roaming\Microsoft\Templates
ActiveDocument.Path =>
ThisDocument.FullName => C:\users\rgillooly\AppData\Roaming\Microsoft\Templates\master.dotm