i have made plenty of knives out of files, they are ok material. i believe most files are 1095 or W1... and yes I would DEFFINATELY want to anneal it first.
if you dont have a torch or forge, best thing to do would be to build a fire and get a food bed of coals going, set the file in the coals and wait till it gets to a cherry red. now what you can do, is either pile some more wood on the fire and let it die down... or drop the cherry red file in a bucket full of perlite. perlite can be bought at the local gardening shop and is a light white volcanic mineral.. its cheap too, i bought a bag of 17 liters for $4.99 and i have used it for annealing tons of junk.
try not to get the stuff called vermiculite tho, it is basically the same but i have heard it can make you sick or something..