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 a 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.