where can I download the protein domain included in a gene set? can you help me
Try using InterPro @ Ensembl biomart (http://www.ensembl.org/biomart/). Upload your list of genes as filter and select desired protein feature attributes.
(edit: corrected link)
so how can I find the position of domain in a protein sequence??
You can upload your domains to http://www.ebi.ac.uk/interpro/biomart/martview/ and extract parent gene id and amino acid coordinates.