When you start to download the game, the downlaod manager will ask you where to download the file. Here you should point to the SD card. SD card will have a drive letter.
If you mean to install the game on the SD card, then after download, you start installing the game. When it asks you where to install, it usually points to C:\Program Files\MANUFACTURER of the GAME\NAME of the GAME\, then you choose the drive letter of your SD card. e.g. Assuming drive letter of your SD card is H:, then you input H:\MANUFACTURER of the GAME\NAME of the GAME\. You should input the folder names MANUFACTURER and NAME of the GAME, because if you install another game on to the same SD card, the two will mix into one another, possibly damaging some files.