DHL adds an additional fee for cash on delivery shipping. When creating a shipping label, DHL bills the merchant directly for these costs, in addition to regular postage.
By default, Magento does not offer an easy way to configure this fee via its Cash on delivery payment method. To add this fee to the shipping cost, you can use the extension Cash On Delivery Fee.
Please note that Cash On Delivery Fee is provided by a third party developer. For questions about that extension, please contact the manufacturer directly.