Peel the shrimp, keeping tails intact. Devein by making a small slit at the back and pulling with a knife or fingers. Reserve heads and shells for broth. Set aside.
Season the shrimp with Creole seasoning, salt, and pepper, and adjust to taste.
Heat the pan over medium heat and add oil. Cook the shrimp until their color turns bright orange. Set aside.
Saute onion, garlic, and celery with butter/oil for 5-7 min. Add shrimp shells, bay leaf, thyme, 7 cups water, and Creole seasoning. Simmer for 10-20 min, then strain using a sieve. Set stock aside.
Heat oil, brown sausage for 3-5 mins, remove. Add remaining oil, butter, flour, and stir continuously for 10-15 mins on medium heat until it turns dark brown. Don't leave the stove as it might burn.
Add file powder, chicken bouillon, Creole Seasoning, paprika, green onions, and parsley. Adjust thickness and flavor with broth or water and salt. Serve with rice and enjoy!