Mail the download link

Not really sure what you are asking. If you are using the Digital Downloads add-on the link is included automatically in their receipt email and on their order receipt page immediately after purchase.

If you are not using that add-on and providing digital files outside of Sunshine then you just write a normal email with a link.

I have already that add on, but the buyer dont receive the mail with the link. The download link is only generated in the website at the end of the checkout when paypal redirect the customer to the website

If the link was not in their email, it means the payment was not confirmed. The order status must be marked as Processing or Completed before the download link is made available. You can change the order status to Processing or Completed and then choose the option to send the customer an email with the order status change and the download link will be included in the email.