You just download and don't have it installed.
It doesn't matter where you put it when downloading (it's best to put a memory card). What's important is that you remember the storage location of the software and look for it wherever you put it.
I suggest you download the software directly from wap.3g.cn on your mobile phone. After downloading, you will be automatically reminded to install it, and you will see it when it is installed. (package a GPRS package, which is more cost-effective)