It depends on what format you use in download. If you download .syx files, you need to connect to the computer via MIDI. If you download in .SVD or .mid you can load them from the disk drive on the synthe. I've only gotten .mid to work directly from the drive to the synthe. I know the drive reads .SVD too so I don't exactly know what I'm doing wrong there.

Yes, they do go into user memory usually. it depends if you got single sounds or groups that have been put in a library. If you get just single sounds, they'll usually just load into temp memory and then you can save it in whichever user location you want. If you get groups of sounds in a library, they'll load into the user memories. So be sure to back up your user memories and system data on floppy or they'll be toast.