Until now, Windows Phone devices haven’t had the opportunity to enjoy an official file manager. Because it is a closed source operating system, just like iOS, Windows Phone has never had a file manager. Every one who wanted an app like that, would have to unlock their firmware in order to install third party applications.
This limitation is over with the release of the new WP version, Windows Phone 8.1. The official WP 8.1 hasn’t been released yet but you can enjoy already WP8.1 Developer Preview version, where you can learn more information about it here.
As for the file manager, it can be downloaded from the Windows store only if you have Windows 8.1 Developer Preview version installed. The file manager is simply called Files and it can access internal memory files as well as Micro SD card data.
You can remove, delete, browse, search, create and share multiple files. If you have WP 8.1 on your phone and want to try the new file manager out, download Files program from Windows store here.