Vim has two registers for interacting with X text selection and clipboard. In your question you mention that you tried the "* register, but there is another register for yanking to and putting from the X clipboard, namely "+. As long as vim is built with X11 support (which the vim-gtk package has), both vim and gvim use these two registers for working with the X selection and clipboard buffers. Use the "* register if you want to paste text that has been highlighted with the mouse and use "+ to paste text that has been copied to the clipboard from another program.
Paste from the clipboard in normal mode
To paste from the X clipboard into a vim buffer while in normal mode, use "+p, "+P, "+gp, or "+gP depending on whether you want the text to be inserted before or after the cursor location and where you want the cursor to end up after pasting. See :help put in vim.
Paste from the clipboard in insert mode
If you are in insert mode in a vim buffer and want to paste the contents of the clipboard, use Ctrl+r and +. This will insert the clipboard text at the cursor location and keep you in insert mode to continue entering text after what was pasted. See :help i_CTRL-R in vim.
Paste from the clipboard in command mode
Pasting from the clipboard in command mode (while entering commands after :) is exactly the same as in insert mode, use Ctrl+r followed by +. So, referring to your original example of copying a file name in the system's file browser, you could open that file in vim by starting the command :e, then Ctrl+r, and then + to paste the file name. See :help c_CTRL-R in vim.
Vim has a large set of registers, some of which are general purpose for the user, and some of which have specific functions. For more information about Vim registers in general, see :help registers in Vim's manual. For more about the difference between the X selection and clipboard buffers, see :help x11-selection. And the specific uses of the "* and "+ registers are described in :help quotestar and :help quoteplus.
:eis called command mode. Insert mode is when editing the buffer. So are you asking for how to paste while in command mode, insert mode, normal mode, or all of the above? – Michael Miller May 30 '14 at 04:07