You have to initialize the process to mix your coins. After your coins are mixed, you send like any other BTC tx with the DS box checked.
So i have to click the "Start Darksend Mixing" button before receiving dash?
No,
You have to click the "Start Darksend Mixing" when you have some coins in your wallet. This will anonymized your coins, and then they will be ready to send when ever you want.
Maybe here you'll find all you need :
https://dashtalk.org/threads/video-darksend-tutorial-rc5.2419/