Well it depends on what you are want to download directly to the SD card. If we are talking photos, music, videos, etc., then you just need to go into the individual app you are downloading the files through and change the settings to save to the card. If the app you use doesn't allow that, then you would need a different app.
However, if you are wanting to download apps to the SD card directly, that is a whole other thing. First and foremost, if memory serves, that phone doesn't allow for the changes needed to download and run apps from a card. I will, however, include the instructions for making the change below, should you wish to try.
First, you need to be using a phone that is running at least Android "Marshmallow" or be able to...