Welcome to Knifedogs!
First, theres the question of the particular file being made of a type of steel that is usable for a knife blade. To explain, the majority of files these days are made from the cheapest material possible, and then "case hardened" (case hardening means they are chemically and themally treated to develop a hard "skin". What this means for someone trying to produce a knife blade is that IF the file you are using is of the case hardened variety, your just wasting a lot of your time and effort, because no matter what you do to it, it will not harden.
OK, that being said, the best thing to do is to take a small, thin piece of the file, heat it to approx. 150F or so ABOVE non-magnetic, quench it in a light weight oil (vegtable, canola, mineral oil, etc). Once its cooled, you can lock the edge of the piece in a vise, and tap it with a hammer. If it break like glass, then you have a usable piece of steel (the file it came from)
"Hardening" and "tempering" are two very different steps in heat treating. Essentially hardening is accomplished by heating the steel to its austinzing temp (roughly 1450-1550F depending on the steel grade), and quenching (sumerging) in a light weight oil. Ideally this should take the steel to is hardest possible state. There can be problems encountered such as warping, twisting, cracking, etc). At this point the steel is very hard, but also very brittle. Neither are ideal for a cutting tool. Thats where "Tempering" comes in. Tempering is a "controlled softening" of the steel, to the point where its still hard enough to hold an edge, but no so hard that it will chip or break. Tempering is accomplished by placing the blade into a pre-heated oven, of between 350F and 500F. The exact temp depends greatly on the type of steel, its carbon content, how thick or thin the grind is, and its desired end use. For what you're working with, IF its actually usable blade steel, I would recommend pre-heating an oven to 375F, bake it for 2 hours, then sharpen and test it. If the edge chips in rough cutting situations, retemper at 25F higher (400F) and test again. And so on..... this is how you experiement to determine the correct tempering temp for a given steel.
To anneal, is going to require temps in the 1500F range, and simply can't be achieved with a kitchen type oven. Again, ideally, you want to heat the steel as evenly as possible, and then it must be forced to slow cool, by being place in a heat retaining material such as vermiculite. Folks also sometimes use things as simply as dry ashes, dry lime, or even hot sand. The idea being to force as slow a cool as possible on the steel. The forced slow cooling in what "anneals" the steel, making is soft, ductile, and easy to work. Annealing also sets up the steel's grain structure for further "heat treatment", but thats best saved until you gain more experience.
Hope that's helpful!