In attemp to find a game, I when to the story list of the multiplayer mode and found The Immortals that request a Download and I wanted to know where can I found these download that are requested in some multiplayer games.
If you list the game and what specifically it is asking for, someone might be able to give you a more exact answer than this, however....
In general, if the server you're connecting to is configured for the ADL utility introduced in the 1.23 patch for NWN2, any needed files should automatically download to your computer, and be placed in the correct locations (an excellent addition that should have been in there from launch).
Rather than being asked to download a file, I suspect your being told you don't have the correct/necessary file(s).
Do you have the exact error message you're getting?
In this case, the module/server is not set for ADL and you'll have to find the required file(s) on-line, usually over at http://www.nwvault.ign.com and download them manually into the correct spots on your computer.
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