I was wondering that whether all the data in Computer has to go through the Processor or are there any Bypass Routes(like DMA) through which data goes
Input/output (I/O) is almost always between the peripheral device and memory. Peripheral to peripheral transfers are highly unusual, as it requires specialized hardware, and makes error detection/recovery more difficult. See Why do file transfers between drives use RAM
I/O can be performed by the CPU, which is called Programmed I/O (PIO), or the device driver (SW) can delegate the transfer task to a DMA controller or a Bus Master (e.g. SCSI host adapter). See https://stackoverflow.com/questions/25318145/dma-vs-interrupt-driven-i-o/38165400#38165400
- While downloading a file: When downloading a file, does the data received by the Network Adapter goes directly to HDD(via RAM) or it has to be processed in Processor ?
Ethernet frames received by a network adapter are typically stored in main memory (by the NIC). A few sophisticated Ethernet controllers have dedicated FIFO memory. In either case the network driver (SW) must copy each received frame to a dynamic buffer for processing by the protocol stack (SW).
The application program performing the download reads the data (in another memory buffer) after the protocol stack has verified and stripped off the protocol frames. That program can then perform the second half of the download by writing the data to a file in a filesystem.
For a description of low-level filesystem operations, see Why does copying the same amount of data take longer if spread across many separate files?
For a description of the low-level of disk operations, see When a disk read or disk write occurs, where does the data go?
- While opening a file: For example, say I'm opening an audio file. So does the audio file needs to be processed by processor or it's data is directly relayed to audio devices?
The audio file would have to be read into memory for the audio device. The software performing the transfer typically does not need to "process" this data.
- While playing a game: Does the Graphics Processor directly access the RAM(or HDD) or it has to get the data & instructions from Central Processor(CPU)?
The GPU could have access to main memory just like the DMA controller, but for memory arbitration it will have a lower priority than the CPU.
The GPU would not have access or the ability to control the HDD or to any peripheral other than the frame buffer.
Whether the GPU gets its commands through its registers or a memory block would be implementation specific.
Beware of how you use "the CPU does ...".
The CPU only "does something" because the instructions it is executing is a particular task. Those instructions are part of a program.
Identifying that program and its task could be more informative than simply saying the "CPU does ...".