I want to send files between two devices using internet connection with out use any intermediate /server. For example there are two device A and B both have internet connection and both device have installed my application, now need to send a file from Device A to Device B. Device A can know all the detail about the Device B.
Is this possible means guide me in the correct way. Thanks in advance.
You can use a Peer to Peer architecture to achieve this. Basically every phone is a client and a server the same time. See here for a basic implementation.
If the internet is not a prerequisite, you can follow Minav Patel's suggestion and use the Android Bluetooth implementation.
Another solution would be the WiFi-Direct feature (if the phone support it). See here for an example.