You can file any altitude you want, but you must fly the altitude assigned in your clearance. ATC takes care of giving you an acceptable altitude in that clearance, but the important issue is how to get from the surface to that altitude without running into anything, and that's the pilot's responsibility.
At any airport for which IFR procedures are published, the TERPS provides standard obstacle clearance as long as you climb to 400 feet AGL before turning on course and maintain a climb gradient of at least a 200 ft/nm (that's feet per nautical mile, not feet per minute -- you have to do some math or consult the table in the back cover of the NACO Terminal Procedures book to convert one to the other). If that's not enough, a departure procedure will be be published, either as a Standard Instrument Departure (SID, found in the NACO charts right after the airport diagram chart or after the last approach chart if there's no airport diagram) or an Obstacle Departure Procedure (ODP, found in section C of the NACO Terminal Procedures book). Note that whenever an ODP is published, you are permitted to fly it when cleared IFR out of that airport, whether it's explicitly included in your clearance or not.
Of course, unless ATC specifically says otherwise, you are not bound to fly the published ODP. You can always make up your own procedure to get up and out of an airport with no tower when you haven't been given departure instructions. However, you'd better have a very good plan of your own, since the FAA will be very critical of any decision to "roll your own" that results in a bad outcome.
For airports without an SIAP, you're entirely on your own to determine what is necessary to get from the runway to the MEA or OROCA or other ATC-assigned altitude. That means a very careful study of the sectional chart and an analysis of the risk in creating what amounts to your own home-grown ODP. Consider this another good reason for always carrying current sectionals even if you're operating IFR.
BTW, virtually all Vector SID's include altitude instructions. If yours doesn't, I'd like to see what it does say. Can you tell us what airport is involved?