When the File is chosen, Henry is presented with another choice: use it on the window, or the door. If he uses it on the door, he saws off a piece of the door pole which he uses to knock out incoming guards (including Dave) who spot him after he escapes. Later he hides in a dark room and this leads to the Sneaky Way ending.
Henry can also use file on the window. He saws off poles on the window, and jumps out, but does not realize that the prison is a high massive building and he falls from a high floor to death.