Well, first you anneal it by heating it red hot and letting it cool slowly, prefereably buried in sand and ash overnight. If you have a woodstove you can throw it in there a little bit before you shut it down for the night - just make sure the knife gets red hot before damping down the fire. The next day, grind off the surface or part of the surface, heat it red hot, and dunk it in oil, moving it around in the oil as it cools. Then take a new file and see if it scratched the quenched area. If it does, throw out the piece of steel and get a new one. If it doesn't, you have a piece of steel that can be successfully heat treated (tip: Nicholson and Stanley files are made from tool steel, all others are quite likely to be case hardened mild steel, and worthless for knives). Anneal the steel again.
Now you have a choice. If you have a forge handy, you can forge it to shape, which is the fun option IMHO. here is a
Tutorial
the other option is stock removal, which basically means you take a piece of steel and grind, file, and/or sand off everything that doesn't look like a knife. Be sure to thin out the thickness some, and make the width taper towards the tip. You can use the original file tang as the handle tang on your knife if you wish, or you can establish a flat tang.
Now, whichever method you use, go ahead and bring down the knife to the final profile and sand out the grinder and file marks now. Then, go ahead and use finer grits to get rid of the coarser marks, down to, say, 100 or 150 grit. Why? Because when I made a batch of 3 knives in blacksmithing class a year ago, I made the mistake of leaving the edges 1/32" thick (and grinder marks on one) when I heat treated them. I have only sharpened one to date - with no power tools the first was pure misery to establish an edge. Subsequent projects have demonstrated the wisdom of doing most of the polishing prior to heat treating.
That done, heat the blade up just to the point where a magnet doesn't stick to it. This is called the critical heat, usually about cherry red, and let it soak in the heat for awhile, without letting it get hotter. Let it cool slowly, just like you did before. This keeps the grain structure of steel fine and will make for a better knife. This may not be so critical if you ground the blade to shape, though it certainly won't hurt it, but if you forged the blade it is very important. Now, heat the blade back up to critical heat, making sure it is evenly heated, and quench it in oil, moving it around to ensure that it cools quickly. Pre-heating the oil by sticking a red-hot piece of scrap steel in it will help prevent cracking. Now, the blade is hard and brittle as glass (and blackened) - you need to temper it by reheating it to a lower temperature. Clean the burnt oil off the blade with fine sandpaper. Now, you have a choice. You can throw it in the kitchen oven for a couple hours at 450-500 (the greater the heat the softer the blade). This works well if you know what the steel is (probably W-1 if a Nichlson or Stanley file is used) and can look up the proper temperature, and when your oven actually gets how enough to be useful. When you take it out the blade should be a medium-to-dark straw color (darker indicates a softer blade). The other way is to do it by eye - get your bucket of oil, stand in a place where the blade is shaded, and heat the blade up until it is a straw color. I would use a torch and play it along the back of the blade. You will see a rainbow of colors moving along the blade - light yellow, followed by straw, dark straw, brown, purple, and blue. When the edge gets to be a straw color, dunk it in the oil IMMEDIATELY. Bear also in mind that the forward portions of the blade will heat quicker than the thicker portions to the rear. If you let it get too hot, reheat and start over. Incidentally, I have never bothered to harden the tang. Tempering via the oven is a lot easier - that is how I did my knives. I have heat treated several small tools with a propane torch, so it can be done, but a knife would be tricky.
Now, polish the blade and put a handle on it.
This is the low tech version, obviously. If you have access to thermometers and other hi-tech equipment, no doubt one of our professional smiths will be along to tell you how to do things much more precisely. :wink: The $50 knife Shop by Wayne Goddard is a good book to start with.