In order to find Modules that are not in the standard LOAD_PATH and be able to import them, you need to update your LOAD_PATH variable for the current folder explicitly
push!( LOAD_PATH, "./" )
then you will be able to import a module appropriately.
Note that, if the file is called File.jl and defines the module MyModule, what you should be importing is import MyModule, not import File. It is generally recommended you use the same name for the file as for the defined module in this kind of scenario, to avoid confusion.
Also note, As @crstnbr noted above, you can also simply 'dump' the file's contents into the current session by simply 'including' it; note however that this simply creates the module on the spot, so any precompilation directives etc will not be honoured.
Somewhat related questions / answers (disclaimer: by me) you might find useful: