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connect Flash Drive

The Downloads app refers to receiving OTA (Over The Air as in wireless) downloads. There will probably be a Downloads folder in your internal storage too.
But what your query is more about transferring files to and from your phone's internal storage and your microSD card. The Settings >> Storage menu has some very basic file management but you'll most likely find it a lot easier install a third-party file manager app from the Play Store. Most of them have more intuitive, graphical user interfaces along with more features.
Try the 'Explorer' app, it has a good feature set with lots of options and no ads.
https://play.google.com/store/apps/details?id=com.speedsoftware.explorer&hl=en_US
Or a lot of people recommend the 'Solid Explorer' app, it's a pay-for app but very popular:
https://play.google.com/store/apps/details?id=pl.solidexplorer2&hl=en_US
 
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Thanks for the feedback. My goal is to transfer a MS Office "word" file to my phone. That data is currently on my PC and on a flash drive - and I would like to have that data available on my phone.
Google Drive or Microsoft OneDrive will automatically sync files between your phone and your online account (with either service) making your files easily accessible on any computer.
https://play.google.com/store/apps/details?id=com.google.android.apps.docs&hl=en_US
https://play.google.com/store/apps/details?id=com.microsoft.skydrive&hl=en_US
The Google Drive app may already be installed on your phone but you should give some thought into implementing one or the other as you really need set up an automatic backup for your phone. Don't rely on it for any kind of long-term storage. Backups are important, and having online accessibility adds to the convenience of just opening files when you're using your phone or using your computer
If you don't want to use online storage services tied to companies like Google or Microsoft, there are other well-established, third-party alternatives, too. One of the better options I really like is Syncthing:
https://play.google.com/store/apps/details?id=com.nutomic.syncthingandroid&hl=en_US
https://syncthing.net/
https://en.wikipedia.org/wiki/Syncthing
 
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