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Of course, the popularity of this link is also a reason.
[edited by: caveman at 5:40 pm (utc) on Feb. 26, 2007]
[edit reason] Removed specifics and link, per TOS. Also edited for clarity. [/edit]
But that doesn't mean the filename is the most important on-page SEO element.
I'd stick with the current wisdom that the title is the most important. After than, filename, Hx tags, kw's on page and where they are on page, and internal/external links with that anchor text all play roles.
Additionally, there are lots of reasons why filenames containg keywords might correlate with high rankings but have nothing to do with them.
(The exception to the above might be MSN, depending on what day of the week it is). ;)