DotNetNuke.Common.Globals.LInkClick is a function which returns a string containing the download url which will include in its path the LinkClick.aspx and in its querystring either a file ticket or url encoded link to the file. DotNetNuke.Common.Globals LinkClick is NOT a subroutine which actually performs the download.
In most cases the string returned by LinkClick will then be assigned to the href attribute of an html anchor tag or to the PostbackUrl property of an ASP.Net ImageButton, LinkButton, etc. In your GridView's SelectedIndexChanged event handler you call LinkClick but then do nothing with the url string which is returned by the function. If you wish to handle a download request in this manner, you will need to perform a Redirect to the url returned by LinkClick. Something like the following:
Dim downloadLink As String = DotNetnuke.Common.Globals.LinkClick("http://localhost/itmacrosolution.com/FichiersUploades/Data1.png", _
PortalSettings.ActiveTab.TabID, ModuleId, True, True)
HttpContext.Current.Response.Redirect(downloadLink, True)
A more efficient way to start the download (without an extra postback to handle the SelectedIndexChanged event) would be to construct during databinding the grid an html anchor tag around the filename or file title in one of your grid's columns and use the url returned by LinkClick as the value for the anchor tag's href attribute. Take a look at the source of a module such as Documents or Links and I'm sure you'll find code similar to what you are trying to accomplish.