Looking at the code you've provided, I feel it important to note that the Evaluate method of ActiveDocument is intended as a means to evaluate an arbitrary Qlikview expression (i.e. Totals = ActiveDocument.Evaluate("Sum(Totals_Field)") ). You appear to be using it as a means to load a text file into Qlikview. The string you're passing to Evaluate isn't a valid Qlikview expression, which is why you are receiving the Object required error message.
Namely, the Set keyword in VBA is used to change an object reference to point to a given object. Since Evaluate returns the result of the expression evaluated as a String -which is not considered an Object by VBA- you get the error message you described.
I'm guessing that the following is what you're actually trying to achieve:
fileName = "\\servername\folder one\folder two\folderthree\my filename.txt"
Since you aren't working with an object, there's no need to use the Set keyword.
Hope this helps!