i do use the on demand but none of the others.
There are two flavors of "on Demand" or what is now called "DIRECTV Cinema" .. There is the broadband type which will use your Internet connection (whatever that may be) and the satellite type which is downloaded via the satellite automatically to a reserved area on your receivers. These are available to you automatically without download (but will likely require you to pay for them).
The latter will not affect the amount of bandwidth you are using. The former will. If your WiMax is unlimited, no worries .. If there is a cap on the amount you can download, then you just need to manage that aspect of it as you see fit as you may be charged extra for your Internet activity if downloading movies via on-demand takes you over that cap. The choice is up to you whether that matters or not.
In any event, if you want to be Internet connected, then you just need to attach the broadband DECA Ethernet port into your WiMax connection device if a port is available .. OR .. if it's WiFi only, then any wireless gaming adapter would be sufficient most likely. It would just need to be configured to attach wirelessly to the WiMax device (configured via PC) and then the Broadband DECA Ethernet would plug into the Wireless Gaming Adapter port.
At that point you'd have full functionality to all Internet resources.