How can I download the zip file directly to sd-card? How can I download the CM 12 zip file directly to sd-card?
You can Download the Cyanogenmod Zip file using any Web browser.

Locate the Downloaded file using File Manager App like (Ex File Explorer or  Fx Explorer)

Search for file using the search option in File Manager App.

If your File is in Internal Storage, Long Press and select the option Move/Cut/Copy to Paste into SD Card

If the File is already in SD Card then use the above steps to Copy/Move it to other folder.