First, read
this.
Second, as long as you have your options set to not block the filetype being sent and your options aren't set to ignore all DCCs, then it's probably an issue with the sender. You can verify that you have the filetype allowed and have DCC set to receive the files (or ask) instead of ignore them by looking in Alt-O > DCC (check the submenu sections as well as the main). Keep in mind that some channels may require something in order for you to download, such as setting up a server. You'd have to verify any rules with the channel's ops.