The rf24 radios are not WiFi. You can send a message through the rf24 radio from the Nano to the Uno and save the message in a string (null terminated character array) variable. The Uno (nor Nano) has no file system. What do you want to do with the message after it is received?
Robin2's simple rf24 tutorial is what I used to get my radios to work. One of the biggest hurdles to getting the rf24 radios to work is supplying them with 3.3V power with sufficient current. That is covered in the tutorial.