1. Right-click on the Downloads icon under your profile, & click "Properties".
2. Click on the "Location" tab at the top.
3. If you know the drive letter for your HDD, just change the drive letter portion in the box (i.e. change from "C:\Users\insert your profile name here\Downloads" to "whatever the drive letter is:\Users\insert your profile name here\Downloads").
4. If you don't know the drive letter, click on the "Find Target..." button, find your HDD, & click where you want it to be located.
5. Once you're done, open up "Computer" from the Desktop or Start Menu, open your HDD, & verify that the directory is there.
You can also move everything in your profile at the same time (just follow the steps as above, but do it on the actual profile directory), or you can move parts of your profile piecemeal.