>>I start my application sending AT commands to get the modem connected to GPRS,
This is not an easy task...... It depends upon your modem's model and make. For most of GPRS modems this is not possible.....
The alternative is to use Dial-Up service of Windows to dial the GPRS connection. This is explained completely in the following question where I helped another asker. It also tells you how to transfer data/file from one system to the other system....
General Packet Radio Service (GPRS): GPRS tranfering and reciving file