First, I want to tell you that MTM offers a very limited functionality for automating the test cases. It has been designed just to ease and accelerate the test execution job manual testers or you can say its purpose is to increase the speed and number of iterations of manual test cases, which can work by simple record and playback.
Now, coming to your issue. Answer to your problem is somewhat not good or efficient to implement using MTM, it depends upon upto what extent you are fine with automation provided by MTM for your mentioned test case.
Case 1: If you just want to validate if the file is created and stored somewhere (downloaded) on the system, then you can do that using MTM; as it will record all (almost all) your desktop actions too. So you can navigate to the folder (Downloads or other) and can see if your file is downloaded or not. But, I afraid that you may not be able to validate the name of the file using MTM.
Case 2: If your file is create somewhere on the server and its name is getting displayed on your web application's page or any field over the web application, then you need to provide the exact name of that field (using Firebug or IE Developer tool bar) in your test case and then during execution MTM will provide the value of that field. So, you will get the value of file name field (i.e. name of the file created) and from there you will know that file has been created.
Case 3: If your file is created on the server and it's name is not getting displayed on the UI, but it is getting stored in the DB or you want to apply some kind of validation over the file name, then you need to use Coded UI for the same.
See, MTM use is restricted to filling forms, clicking buttons, links etc. and providing multiple parameters by inserting multiple rows in the test case for running same test case more number of times. If you want to go beyond these functionalities, then you need to jump over Coded UI or other tools.
Note: All above content is related to MTM 2013, as I have used that version.