When you go into the add-on’s settings, to the Downloads tab, you can enable downloads. Then, you need to select both paths for Movies and for TV. I believe you usually need to select both even if you only use one.
Those options in the file browser are various ways to connect to the device’s storage, or external network devices. Just pick your hard drive letter and browse to the place where you want downloaded files to save to.
When you save the settings, then you should be able to browse to a video and right-click or hit the menu button or the “c” key. That will open the context menu and you can select “Download”.