Microsoft's Joe Belfiore announced that his team is working on having one ready in the
Windows Phone Store hopefully by the end of the month, and even had screenshots to prove that it's pretty close to becoming final (shown below). Of course, Microsoft's OS isn't the only one that's mysteriously neglected this particular feature:
iOS and stock Android don't have a dedicated file system, either (unless you count third-party apps), so this is a good opportunity for Windows Phone to set itself apart from one of its larger competitors.