***DISCLAIMER***
Playing around with fires & red hot steel is dangerous!!!! Please, please wear good heat-proof gloves, boots & eye protection before you try any of this. You'll also need a pair of Vice-grips, pipe-wrench or tongs to handle the hot steel.
Same as you would in a forge. First off, get the grill as hot as possible (I'm presuming it's charcoal???) Bury the file in the red hot coals & leave it until red hot (you'll have to stoke the fire regularly, so no nipping off for a quick beer!). If you have a good magnet, check the file whilst it's red hot to see if it's lost it's magnetism. If so, great! If not, keep it in the coals until it does.
Once it loses magnetism (This is called 'Critical Temperature') move the file to a cool part of the grill (Rake all the coals to one end, leave the file at the other) & cover with as much cooler (not cold) ash as you can. Leave it in the ash until the fire goes out (overnight is ideal) & remove the file when it's cold. This should leave you with an Annealed file. Knock off all the acumulated slag, wire brush as much of the crud off as possible til you're left with a relatively clean 'file'
Now try filing the old file with a new file (WOW! that's a bugger to type!) it should mark quite easily. If it does, you can then treat it as soft steel. Bend it, drill it, bash it about, grind it, it doesn't matter. As long as you don't burn it (Nigh on impossible without a forge or Oxy-Acetylene) you'll not harm it in any way.
You now have a piece of REAL high Carbon steel to make a knife from.
I'll post the Heat Treat cycle later, if you like.