How to download large files directly into external hard drive

I have been sent a large file 350 MB of video - and I want to download it directly to my external hard drive
I can't seem to do this - I am using a mac book- I get two options, 1, to save the file and 2 to watch te file
with out saving to the hard drive

neither of these gives me the option of "where do you want to save this file" ...what steps am I
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