"I have a device with Infrared. How do I know the commands supported by that device?"
You are not clear (although I suspect English may not be your first language?) - so let's break that down :
"I have a device with Infrared"...
a) Do you have a device you want to CONTROL using Infra-red? (like a TV?)
b) Do you have a device which allows you to control Infra-red devices? (such as an iTach device?)
"How do I know the commands supported by that device?"
I suspect this means you want to control the device (TV). You have two options here...
a) You need to hope the manufacturer publishes the IR commands so you can replicate them
b) You need a learning capable device, so you can "clone" your existing remote
I would suggest you look at buying an GlobalCache iTach - you can point your existing IR remote at it and it will "see" the signal and translate it for you. You can then play it back to the device via the iTach, AND (more importantly) use the signal in OpenRemote.
"Also what is LIRC conf file?"
"How to send commands to Device?"
See my answer above - until you know what device(s) you are talking about, you won't get a single answer.
I can recommend the iTach.
Alternately, until you describe what it is you want to achieve/do, you might find another way is better - for example if you have a network enabled A/V receiver, you could use that to control your other devices (TV/DVD/CD) via HDMI, and not require an iTach - but that assumes your target device is HDMI enabled etc etc.
Or lookup a local integrator, if there is one near you