I want to make a knife out of an old industrial file, but I need a furnace to anneal the steel. Should I just use a conventional oven? Or should I just use a charcoal grill and really crank up the heat? This will be my first knife. I know I am a newbie, but wanted to get started, hopefully, on the right foot.

To properly anneal, you'll need to be able to get the file near hardening temp. An oven won't do this. You don't have to anneal it if you are just grinding the file, it will make it easier though. Keep the file cool while grinding, then use your oven to temper the file.

As mentioned, to anneal you will have to get the steel to over 1000 degF (generally several hundred degrees over!) Most ovens don't get that high in my experience.

You can however use a regular oven to draw temper to make the file soft enough to work. Many people reduce the hardness from brittle hard like a file to knife hard and then work it with abrasives KEEPING IT COOL and then don't have to re-harden and temper it to knife hardness.

However if you are going to file it to shape you will need to get it softer than "knife hard".

It is not suggested to work the file at original hardness as it's prone to breaking when dropped or even stressed when grinding. Backing the hardness down to what you will be wanting before starting to grind helps avoid this.

If you read the heat treat sticky you should find a lot of answers http://www.iforgeiron.com/forum/56-knife-stickies-here/