The Alan Wake Files is a book that comes with the Alan Wake Limited Collectors Edition and it has been compiled by the fictitious writer Clay Steward.

Presumably, defined by the story; Clay Steward had in fact had been having strange dreams/nightmares that involved Alan Wake in them. He soon proceeded to contact Alan Wake and told him about it. After this, Clay Steward had immediately proceeded to write an autobiographical-type book specifically about his strange dreams and had included parts related to it and parts that happened in the dream/nightmare. He also wrote some parts in the book about Alan Wake himself, the main man behind his weird, crazy, fantastical dream.