Can someone explain for me how the exchanges is making money when I use their leverage service ?
Do they make money also when prices goes up and I earn money ? Or only when prices fall and I loose my money ?
Are you referring to a specific exchange that provides leverage as a service to account holders?
If that's the case, it works the same as an ordinary brokerage house: They charge you interest on the leverage, like a loan. They also get their standard fee from each trade. More trades = more fees.
For the record: don't use leverage. You'll just dig a deeper hole. It's addicting.