It works now. It was page blaster module that I am using caused this problem. I need to specify the excluded path on the PageBlaster module on every page where I am using DMX module. Hope this helps everyone who are using both DMX and PageBlaster  module.

Open Snapsis.PageBlaster.config what is located in the same Directory as your web.config.

Is this file not located here so you must copy this from the Directory "\DesktopModules\Snapsis\PageBlaster\Config"

to the same Directory how your web.config.

So you open the Config and look for "exluded Paths" under this you have a node with your needed Word or PageName was you will exclude.

When you Page have the Name download so extend the Line with the word download and pageblaster ignore this page in your portal.

Best Regards