This would be because you are trying to change the download location within the phone's settings and not the app's settings. Assuming that is where you are looking. You have to go into the app you are downloading through (browser, etc.) and change the settings in it to save to the card rather than the phone's storage. If that option isn't there you would either need a different app to download through that has that option, use the phone's file manager app to move the files from the phone to the SD card or do as reedo_43 suggested and connect the phone to a computer via USB cord and move the files using the computer.