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When you say "file", you mean one of the scripts in the module?
E.g.,
http://example.com/xoops/modules/xyz/file.php ?
The XOOPS permission system is hierarchical. If a user doesn't have access to the module as a whole, then he doesn't have access to any of the scripts in its directory. Changing that behavior would probably require a lot of hacking.
You might be able to create a block for accessing that "file", i.e., the data that the script accesses, give anonymous users the right to access that block, and then place the block on a page outside of the module, for example on the front page. Then again, I'm not sure if that would work.
Maybe if you provide some more details, such as what the module does and what that specific file does, someone could suggest a solution.