what is the download mode could anybody explain what is this download mode?

As described in here How to root Innos A35
as I hold vol up +vol down 5 seconds and at the same time connecting the USB cable to
my computer it shows up a removable disk and unknown drivers in windows 7. 

My phone is also Innos A35 device locally sold as i35 from dialog telecom.

What are those? And what is this download mode?

But unlike the recovery mode, I didn't get a screen up. Is these two modes all coming
from ROM. what kind of code is there on ROM. [Well in x86 computer I could review 
a opensource bios implementation, any idea on Android ARM ?].Where that consoles 
come from?

Where is uboot located? Is this download mode is a mode that programmed into a ROM, where
I could not change it?

I have read the boot procedure of a typical android phone. But can't organize the info
with this.
Download mode is for flashing radio firmware/ROM upgrade through official means.

Some devices uses U-Boot over the generic boot, it is a boot-loader code found in read-only ROM chip on the board, which uses a certain memory address offset, in which the kernel from the /boot partition gets loaded into that specific certain memory address offset and jumps into that address and the kernel starts running.

For details of the generic LK boot which is employed by most, if not all, Qualcomm based devices, see this 

As for Download mode, for example ODIN is commonly used on Samsung devices to flash ROMs, those devices needs to be in download mode prior to flashing. However, ODIN is not the official way to do it, rather Kies, is the official route in upgrading the firmware, this is for Samsung devices for example.