1. Create a new folder on your external hard drive called "downloads", or something else as equally as snappy.
2. If you want files downloaded from Safari, then go to Safari > preferences > Save downloaded files to > Other = select your newly created folder.
3. Make an alias of your "downloads" folder wherever you want. If you want it to appear in "Places", just click, hold and drag it there. Same goes for your dock.
HTH