If you are referring to a program or app that is specifically for transferring files, that wouldn't come on your phone. You would have to download and install one.
If you are referring to being able to move apps over to the SD card, rather than having them on your phone, well not all apps allow that.
Most apps are made to be stored on the phone, so they can't be moved to a card. The only OS that allows for running apps (some of them) on a card rather than on the phone itself is Marshmallow. It allows for making the SD card Internal rather than External.
You can move all other things (videos, photos, etc.,) to a SD card, but not the apps that don't have the option.
You could also write the developers of the app you are wanting to do...