You can use vegetable oil, duck fat, bacon fat, or lard to make a roux. Margarine is not an option for this!
While not required to make a great gumbo, File powder adds that authentic New Orleans flavor and helps thicken the gumbo.
If you want to add okra to this gumbo, omit the file powder. You can add 1/2 cup thickly sliced okra to the pot when adding the onions, celery, and pepper so it can cook down with the vegetables.