Heat some vegetable oil in a large stockpot over medium-high heat and cook the chicken in batches until it is golden brown. Remove with a slotted spoon and set aside. Add the flour to the chicken juices and stir continuously. Add the butter and cook the roux until it is brown.
Add the peppers, onion, garlic, parsley, salt, pepper, cayenne, bay leaves, thyme, and 1 quart of water. Stir well and bring to a boil. When the vegetables are soft, put the chicken back into the pot and add the remaining water. In a skillet over medium heat, cook the sausage and ham until they are browned. Add them to the pot along with the shrimp and stir well. Let the gumbo simmer for 1 hour, then add the okra. After 20 minutes, turn off the heat. Ladle a couple of cups of the liquid into a mixing bowl. Add the file powder and whisk until well blended. Pour back into the stock pot and mix well. It's ready to serve!