Question, are you using a MicroSD card? To my knowledge, anything you down load from the Market will go to your phones "Internal Memory". The only way you can get things to your SD card is through the method that RoseRed pointed out (Software) or using a program that will allow you to move apps and other files from your phones Internal Memory to your SD Card, as also suggested by RoseRed.
However, I would be very cautious as to what you move and where you move it. With 1.6 OS, the one we are currently using you may run into a lot of problems moving apps to your SD card. So, if your running low on your Internal Memory due to files you have installed, you may just want to eliminate the ones you really don't need until you are comfortable with moving files around inside your phone. I make this suggestion since I don't know your level of knowledge in regards to the internals of the smartphones..
Hope it helped and Good Luck!