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Having your keywords in your file name is one small factor that may have an impact in query matching and/or query ranking. There are plenty of pages ranking well without keywords in the file names, just as there are lots of pages WITH keywords in file names that rank well. It's just one small thing, and it's more likely to help on so-called long tail phrases.
If you're going to use keywords in your file names, be sure to use hyphens instead of underscores. And the example you provided seems too long to me. Long domains or file names with lots of keywords and hyphens tend to be associated with spam. So keep it a bit shorter than that if you can.
