Photo credit: Wikimedia Common
But if you observe the above error carefully, at the end of the message, right after the 'manually?' you shall see the icon of the app which is present the error.
In my case, it was realPlayer v1.1.3.0. I could not find a settings in realPlayer to changed the file store or download location of the download manager to SD card, but I simply uninstalled it and later reinstalled. My problems went away.
If you do not have realPlayer installed, perhaps you should check any of the recently installed applications on your android device that have downloading capability. Remember, the error message usually ends with a logo of the application.
Astalavista