There's no steel that doesn't need to be heat-treated to make a real, usable knife, unless you want to work with steel that's already been treated. I don't recommend that; part of the reason for the heat treatment is to make it resist abrasion, so it's going to take a LONG time and a lot of work to do something like that.
Heat treatment is not that bad if you use a simple carbon steel. You can heat treat with a basic charcoal grill and an oven thermometer. To work the steel, if you're using annealed stock, you need some files and maybe a hacksaw, a sharpie marker, emery cloth, and that's about it. Just gotta be patient.
If you use steel that's already been used, like an OLD file, you can anneal it yourself. Heat it on a fire with lots of air blown in (a hair dryer makes this simple, you can move up from there as you see fit) until it glows red, then put it into a can of ashes or the like so it can cool down slowly. Let it cool for hours and it'll come out soft enough to file easily.
When you've got it shaped, you can take it to that heat again, quench it in old motor oil or transmission fluid (probably) or water (less likely, depends on the steel) and it'll get very hard, but brittle. Then you heat it to a lower heat, for instance a blue color, and quench it again. Do that a few times and you'll have a blade that's hard, but tough.
None of this will go right the first few times you do it. That's OK; it's supposed to happen. It's a lot of fun anyway. Keep your safety glasses on and wear long sleeves, pants and heavy shoes when working with the hot stuff.
If you don't have anybody around to show you how it works firsthand, I highly recommend Tim Lively's video:
http://www.livelyknives.com/knifemakingvideo.htm