Communication with USB WIFI

Also got another problem, i have bought arduino bluetooth

Link?

and just received it without shield

If you got what you ordered, you should have paid better attention to what you were ordering. If not, send it back.

it has nearly 30 pins

I've never heard of a bluetooth device with 30+ pins. Definitely need a link.

can i make direct connection to arduino uno?

Yes, if you can figure out which pins are which.

is there are such documentations?

You're asking us for documentation on your mysterious device? OK, I'll go out on a limb and say yes.