Install module from URL to site directory instead of /all
The update manager will only install modules to sites/all/modules unfortunately (see this page), so it looks like you'll have to FTP/SCP/whatever them to your server.  

There are some advanced installation methods here, but installing modules into specific directories is not something the update manager can do.

Alternatively, you should definately try Drush if you're not using it already.  There's a pretty good tutorial on how to set up Drush for a multisite here.

Drush homepage

Drush project page

Drush DO page

Drush cheatsheet

Drush guide