Welcome to the forum.
Whenever I download something using Dolphin Browser:
http://market.android.com/details?id=mobi.mgeek.TunnyBrowser it always prompts me for the download location. I just navigate to the location on the SD card and from then on it uses that location (although, annoyingly enough, it prompts me every time even though I checked the box to use it as the default location - you win some; you lose some).
I'm not sure offhand what happens in the stock Internet browser.
Edit: in the stock Internet browser, press the Menu button -> Settings -> Advanced -> Default storage: Memory card
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