The easiest way to accomplish this is if you have a relatively recent GNU version of grep. Then the -H version is available to you:

printf "This\nis\a\ntest" > /tmp/grep.test  
grep -H 'is' /tmp/grep.test  
/tmp/grep.test:This
/tmp/grep.test:is

But if the -H isn't available to you (I'm looking at your SunOS/Solaris) there's still hope, and it's nearly as easy:

printf "This\nis\a\ntest" > /tmp/grep.test  
grep 'is' /dev/null /tmp/grep.test  
/tmp/grep.test:This
/tmp/grep.test:is

By giving grep /dev/null (which it sees as a zero length file) in addition to the file you'd like to search grep sees two files and will report back the filename of the file you'd like to search.