Divya, I guess you mean 'can users send files to one another while they are using a Moodle chat' ?
Well, the simple answer is no.
Although you might want to add this as a feature request?
The Chat client in Moodle is very 'light and simple' - so it will not send files like MSN, Yahoo, Skype etc.
However, it doesn't really need to !
If Students are chatting in a course then they could share their files by posting them in a Forum for example !
Or, even better, use a Database activity as a Student files sharing area
These are things that cannot be done using MSN, Yahoo, etc.
This has an advantage, ...anyone in the course can access the files later (not just people who happen to be in the Chat at the time it happened).
Stu