Is there any way to access files of Third party server using PHP?
Yes. You just fopen them if url_fopen is enabled, or use CURL.
The easiest way - assuming url_fopen_wrappers are enabled - is simply using file_get_contents()
with a remote (http://, ftp://) URL.
If you don't want to rely on them being enabled, use CURL - while it requires a PHP extension it's pretty common so chances are high it's enabled even on shared hosting.
Here are examples for both methods:
// using url_fopen_wrappers
$contents = file_get_contents('http://stackoverflow.com');
// using CURL
$curl = curl_init();
curl_setopt($curl, CURLOPT_URL, 'http://stackoverflow.com');
curl_setopt($curl, CURLOPT_HEADER, false);
curl_setopt($curl, CURLOPT_RETURNTRANSFER, true);
$contents = curl_exec($curl);
curl_close($curl);
you could even use copy('thirdPartyFileUrl', 'fileO')