set_string_level:               ;enter with binary level in ax (max 9999 decimal)
push ds
push cs
pop ds
cmp ax, 9999
ja error
call bin2bcd                     ;returns 4 bcd digits in eax
call bcd2ascii                   ;returns 4 ascii chars in eax
mov [string_number],eax
pop ds
ret

string:
db "data/lvl/lvl_"
string_number:
dd 0
string_end:
db ".bw"
string_delimiter:              ;if needed
db 0
    

        org     0x100
        mov     ax, [Level]
        mov     di, name.level
        call    convert0000
        mov     dx, name                ; output to test it
        mov     ah, 9
        int     0x21
        ret

convert0000:
        mov     cl, 100
        div     cl
        mov     cl, ah
        call    convert00
        mov     al, cl
convert00:
        aam
        or      ax, '00'
        xchg    al, ah
        stosw
        ret

Level   dw      9876
name    db      "data/lvl/lvl_"
.level  db      "0000.bw", 13, 10, '$'; for int21/09    

With emu8086, we had to use it for our project.

But it's a FASM compiler, isn't it ? (FASM v1.64)