I have a problem with ATmode in this module. I want to change baud rate and device's name, so I using an app Android "Bluetooth SPP" to pair with module and send ATcommand, but it doesnt reply when I send AT, then I test by connect TX to RX pin and it reply any character I send. In this document http://www.mcu-turkey.com/wp-content/uploads/2013/01/HC-Serial-Bluetooth-Products-201104.pdf , it said "before paired, it is at the AT mode", I misunderstand it, why we can send ATcommand while don't pair device???
If I understand you are trying to send an AT command over the RF link - this is not how it works.
You need a wired connection to the TX/RX pins on the module, and send the AT commands this way (this is how you can send AT commands before pairing)
Here is an example schematic:
Here is a run through of connecting a HC06 to an Arduino nano.
EDIT- if you are not planning to connect using a microcontroller, then you will need a USB to RS232 cable (TTL level). You can get them with the connectors to fit the header on the modules like this one: