I am familiar with the representation theory of finite groups (at least of the symmetric groups over the field of complexes)
And I know that the group algebra of an infinite group is not semisimpe (lets say again over the complex field).
I would like to know if any work has been done in this area, I mean regarding the classification of simple modules of an infinite dimensional associative group algebra ? (which I guess it has been done but I am not aware of it).
The simplest case is when the group is equipped with a topology with respect to which it is compact (Hausdorff), so the proof of Maschke's theorem still works and the Peter-Weyl theorem is available. In particular, the representation theory of compact Lie groups is very well understood. The representation theory of noncompact Lie groups is still a major area of modern study, with ties to algebraic geometry, harmonic analysis and number theory. The representation theory of profinite groups such as Galois groups is also a major area.
The representation theory of infinite discrete groups is, as far as I know, extremely hard in general. Some work has been done on representations into $\text{SL}_2$ and related groups; see character variety and the discussion and references here, for example.
For some indication of how hard these questions are, the representation theory of $F_2$ is essentially a mystery: that is, no one knows a reasonable way to classify pairs of matrices up to simultaneous conjugation.