The current Magento extension Post & DHL Shipping (version 1.x or higher) supports shipping from Germany to the rest of the world. Other origin countries are not possible with the current extension.
No shipping labels can be created if another origin country is configured in Magento. The checkbox "Create shipping labels" will be missing in this case, see this article.
If you are not shipping from Germany but from another country, please contact DHL directly and ask them if they have an extension from another provider that supports your specific shipping origin country.