Not sure how you can change it within WMC, but you could create your folder on your external storage, and then link it back to the WMC folder.
1. create your folder on external storage
2. copy contents of WMC download folder to folder on external storage
3. delete the WMC download folder
new folder to WMC download folder:
mklink /j <external storage folder> <WMC download folder>
When WMC downloads now, it will still download to it's original folder, but windows will re-direct it to the folder you created on the external storage.
Hope this helps.