You can make a folder on the external drive. To do this, open a Finder window of the external drive. From the
File menu in Finder, select +New Folder+. You can name it whatever you want.
After downloading the files, drag and drop the files to the new folder on the external.
To avoid copying files between drives, you can set your browser's preferences to download directly to another folder on the external drive. Then you can move files that are mp3 between the
Downloads folder to the
Music folder.
For more details, you should including information about your system, such as iMac model, Mac OS X version, and if you are using Safari and iTunes (or some other programs).