I’m sorry, apps have to download and install to Main Memory first. You can’t change that.
But, after they have installed, you can move some (but not all) apps to your SD card.
Go into your phone’s settings, go to Applications, find an app you want to move, tap the “Move to SD” option if it’s available. Depending on your version of Android, that may be one level further down under Storage. You will have to repeat this for each app you want to move.
Apps have to be coded to be moveable and apps that have widgets are not moveable. If you find an app you can’t move, contact the developer and let them know.
Also, check the settings INSIDE your movie and music apps to make sure they are set to store their downloaded data on the SD card. Just a single movie can take up almost 1GB of storage space.