Well, it depends on what you are trying to set to be downloaded to the card. If it is specific things, like photos, music, videos, etc., then you would have to check the settings in the actual app that you are using to do the downloading. That is where you would make the change for specific things.
Now if you are referring to setting the phone up to download and install apps on the SD card, that is a whole other ballgame. Since I don't know what phone you are using, you didn't mention, I will give you general info.
The phone will first need to be running Android "Marshmallow" for this to work. Prior versions just don't have the option. Also, the device will have to be one that the manufacturer didn't restrict this option on. Sadly...