When you buy stock shares from a secondary market, how does the money goto the firm's account? I want to know the whole process.
It doesn't. That's what "secondary" means. You're buying from another shareholder, so the money goes to them, not to the company. It's akin to buying a used car - the money doesn't go to the car manufacturer.
The companies raise money by selling shares of themselves through initial or subsequent public offering (both colloquially referred to as IPO, even though I stands for "initial", the first kind), that would be the "primary" market. Once sold the companies have no involvement any more and the new shareholders can continue trading their shares on the secondary market.
For an established stock exchange like NYSE or NASDAQ, how much money would they receive?
For primary market transactions? Depends on the situation. There are fees and costs accompanying IPOs like underwriting, accounting, legal, fees to the stock exchanges, associated costs for marketing and shareholder management, etc.
Can I find these information in the financial statements, which part should I look into?
Usually in the IPO prospectus.
This has nothing to do with the situation you're describing from the movie. There, the OTC transaction (still secondary market) includes a hefty fee to the broker (the Wolf). The actual Wolf of Wall Street committed several crimes, including pump and dump schemes, the absurd fees were the least of the problems.
