GPRS is very different from having 2 devices connected directly. The main reason is that the data has to effectively go via the internet, which makes it a much more complex task than simply sending data knowing it will end up on the other side of a wire.
Essentially making 2 devices talk via GPRS is equivalent to making 2 PC's connected via dial-up modem to talk to each other via the internet. If you are not running an OS such as Windows you will need to do all the things Windows does for you yourself like controlling the modem and negotiating the link parameters as well as handle PPP, LCP, UDP, IP, IPCP and some other protocol requests.
Firstly each device will be assigned an IP address from a pool at your service provider and you will need to find out what address has been assigned to the other unit before you can communicate, which may be difficult enough on its own to be a problem.
It is possible to set up a private network (your own APN) with your GSM service provider (at a monthly cost of a couple of hundred $/month(my operator charges around $500/month). With this you can set it up to assign the same IP to the same device every time.
Next you may encounter some problems with routing beteen the devices if firewalls are present.
Lastly your devices will be communicating using IP which means you may need to implement an IP stack. Fortunately many GSM modems are available with which you can avoid implementing an IP stack through providing AT commands which can send IP data to a destination address.
A much easier solution (but more expensive on most networks) is to make a GSM data call. If you have the number for the other unit you can call it up by sending ATD### (with ### the GSM DATA MSISDN number of the other device) and you will have an RS232 connection at up to 9600 baud which directly connect the devices. Since you pay per second for data calls and per byte for GPRS it may work out to be more expensive than GPRS depending on the way you want to use this.