I have lollipop on my tablet. The app I was trying to download a movie from asked, Open with Fe downloader, video, or photos? So I used the Fe downloader and it ended up in my file manager under videos.
Welcome to Android Central! What app are you using to download the movie, and where are the movies coming from? If this is a "free" movie download app, be aware that unless the movies are public domain, then it's shady and probably illegal.
Also, when I search for "FE Downloader," I get a lot of results about trojan malware for Windows machines. So I'd be very careful with what you're doing.