I heard that I can exchange Bitcoin with someone near me such as my friends but how can I exchange Bitcoin with them?

This is an easy transaction. If you are sending them to your friend, get his address which can be a paper wallet address or any other Bitcoin address. The sending address is the one that needs to be on an exchange or linked to a blockchain.info address to sweep them off your wallet if you have a paper wallet. Pretty easy transaction that can avoid a third party.