How to get the first inner element?

Non-jQuery: (was not tagged with jQuery before, so I included this)

• If you want to get the first child element only:

  var element = document.getElementById('PGD').children[0];
  

• If you want to get the first anchor element:

  var element = document.getElementById('PGD').getElementsByTagName('a')[0];
  

With jQuery:

var element = $('#PGD').find('a:first');
// or, to avoid jQuery's pseudo selecors:
// var element = $('#PGD').find('a').first();

and actually your function can just be

function load(dl)
{    
   var element = $(dl).find('a:first'); 
} 

Update:

As you are using jQuery, I suggest to not attach the click handler in your HTML markup. Do it the jQuery way:

$(function() {
    $("#PGD").mouseover(function() {
         $(this).find('a:first').attr('display','inline');  
        alert($(this).find('a:first').attr('display'));
    });
});

and your HTML:

<div id="PGD" class="album">
     <a class="dl" href="#">DOWNLOAD</a>
</div>

​See for yourself: http://jsfiddle.net/GWgjB/