Sprinkle Filet with salt and pepper. Place in foil and bake or grill until desired doneness.
Melt butter in pan and and saute onion and mushrooms. Reduce heat.
Bring whipping cream to boil and reduce heat to low. Whisk in gorgonzola cheese and heat until cheese is melted about 4 min. Stir in onions and mushrooms.
Slice filet into steaks and serve cheese sauce over top.
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