It depends on where you are getting it from, and what kind of file it is. Some won't save to a phone, or to a SD card, while others will, but can't be viewed from a phone.
If the file is an MP4, then you should be able to save it to either the phone itself, or to the SD card. If you are downloading it through the phones browser, then you just need to change the download location in the browser app's settings.
You would also, in whatever app you are going to be watching the video through, change that apps settings to look for the file on the SD card. Again this is done in the app you are going to use's settings.