This is the basic recipe we use for our xmas family meal: http://www.foodnetwork.com/recipes/ina-garten/fillet-of-beef-recipe/index.html

^^^
BTW I did it in my cast iron skillet. I don't think the type of pan really matters that much, other than heavier is better if you have it available.

There's a recipe that involves putting the tenderloin in a 500 degree oven for a few minutes, then turning the oven off and not opening it or peeking for something like 2 or 2.5 hours. I don't remember the details but google it. I did it once and it was perfect.

Tenderloin is a very lean cut and it's easy to dry out, so you have to be careful with it. The above recipe came out really perfectly tender and evenly cooked, a very pleasant medium rare.

You should brown the tenderloin and bring it to desired temp in oven. Put some tinfoil on pan

P.S. My answer above assumes you're not making a pan sauce with the fond.

Yes, those pans can double as a serviceable roasting pan. Just remove the slotted insert and put foil over the base.

I won't broil it, don't worry. Just wondering about the pan.

Any roasting pan will work. It just needs to be deep enough to keep in the juices/cooking liquid. For the love of god don't broil it.

The best method is to brown in a big oven-proof pot (dutch oven) and then put it in the oven long enough to get to medium or medium-rare. If you don't have a dutch oven, brown in a skillet first and then transfer to whatever baking pan you have (glass, corningware, roasting pan, whatever).

I would like to make one in the oven, but I only have a broiling pan with the slotted insert pan that fits on top. It's the kind that comes with most ovens, looks to be about 12x15 in size. Can I use that, or do I have to get a special type of pan/rack?