Try creating a folder within the external drive & choose that instead of root drive. I think LW had some bug sometimes not allowing root level as the downld location. I know that's definitely been fixed in the beta. If still problems, check you have permissions on the external drive. I've never heard of that issue in windows but worth a try. You can give yourself permissions for it via the control panels > Management, etc.

Keep in mind "some" files presently downlding might still continue to downld to C drive. But new ones should go to the G drive.