I have not yet tried downloading files directly then saving to a connected external storage, but an option on browsers specifying the location via Tools - Internet Options/Options and checkmark prompting user to save location on a dialogue box is your key here. The only DANGER of using a direct external storage location of downloading exe programs/installers is the interruption of transfer of data which might occur and could result in lost of all your data. Since downloads might take longer than transferring files from Internal drives to portable. I would suggest saving files directly first to your computer storage then transfer them later to your external drive as a safety measure. Delete the files in the HD since you have made a backup.