There's no file of all the introns available. To get this you would need to use the Perl API. You can use the TranscriptAdaptor to fetch all transcripts, then for each transcript, get all Introns. You can then use the intron module to print whatever information you need.

Another possibility is to download: 1) gene coordinates, 2) exon coordinates, 3) chromosome bed

Then, you can use bedtools to subtract 3-1 to get intergenic regions (4). Subtract 1-2 to get introns+intergenic (5). And finally, subtract 5-4 to get introns.

Depending on what do you want to do with introns this may help you.

Now Ensmbl can download the exon-intron region based on selected RefSeq.

Go search your transcript, choose Sequence-Exons in the Transcript-based display menu.

You can download the .csv files and retrieve the coordinate