Did you set up the download correctly?
In whatever app you are trying to do the downloading through, you must set it to save to the SD card rather than the phone. That is the only way it would work.
Unless you are either trying to download a file that is to large. Videos can be really large. Or you are trying to download a video to the SD card that can't be downloaded directly to a card. Like say from a service like Netflix. They don't allow downloading directly to the card.