Allow user to choose files from folder

When you use the folder connector, it should add a column with the filename when the files are combined. If you just add that to a slicer or the filter pane, it should let them to filter the data by the filename. If you are worried about speed, you could use the query reduction setting for the slicer that makes them select something before the data will load. 

I don't think report-level parameters are something the viewers can interact with, they are more for report creators to easily swap things. Field parameters would work, but they're not necessary here if all you want to filter on is the filename.