as far as i know you only can download required modules when on line and having the base application open. when you open up DXO and open some images to be processed, you will be told if you use a camera/lens combination for which there exists a module and that is not yet downloaded. you can then download that module with a few mouseclicks.
you can also download any module you think you might need in future - so if you know you will go out with a different camera/lens combination next week, you already can download a suitable module now. when you later open the images shot, automatically the already downloaded modules will be used.