How can I transfer files between Samsung Galaxy Note 800 and usb pen drive? Is it compulsory that I need a Desktop or Laptop to transfer files between Samsung Galaxy 800 and a usb pen drive.
No, there are other ways to copy files from a USB pen drive to a phone.

According to USB Host Diagnostics, the N8000 can support the USB OTG (on-the-go) cable, assuming you have the latest firmware. Just plug-in the USB pen drive (or USB stick) into it. This cable will cost you USD1 or less.

If you have root, you can use StickMount to make the mounting of the USB pen drive easier.