Climate data are available from different sources and in different resolutions.
You need to unzip these files and copy them to the default DIVA-GIS climate data folder: "c:\program files\diva-gis\environ\" or to any another folder, and change the Folder in the "Tools/Options/Climate" window.
Current climate (~1950-2000)
Future climate (2xCO2 climate conditions, CCM3 model)
Source: B. Govindasamy, P. B. Duffy, J. Coquard, 2003. High-resolution simulations of global climate, part 2: effects of increased greenhouse cases. Climate Dynamics 21: 391–404.
These data were subsequently downscaled and matched to the WorldClim estimates of current climate.