I have solved the problem.
First of all, override the config.xml file of “app\code\core\Mage\Catalog\etc\config.xml”. Then in
<type><grouped translate="label" module="catalog">
include a tag <downloadale />
Now select the option “links purchased separately” to “no” in the backend option for “Downloadable product”.
As soon as you do this, you will be able to see “Downloadable products” in the association list of “Configurable/grouped/bundle” products.
I was struggling for long time. But this is the perfect solution.