Try restarting the tablet. You should also check the settings in the app you are downloading through. Make sure they were not changed to save to a card (even if one isn't there). Especially if it is an app you recently installed.
If you are downloading on a tablet, then they must be coming through an app. Are they coming attached to an email? Attached to a text? Are you viewing them in a browser? or in another app like say Facebook?