Are you trying to transfer the movie from a laptop? If yes, Windows or Mac?
On the Mac I use something called 'Android File Transfer', which allows me to move stuff direct to the SD card.
Alternatively, you probably have an SD card slot in your laptop. So you could take the card out of the Hudl, put it in an adapter (micro SD to regular SD) and then into the laptop.
If you're actually trying to download, i.e. from the internet, I'm not aware that you can direct the download straight to the card. You would probably need to clear enough space on the internal memory of the Hudl.
Brilliant, tribot. That makes sense. We've got the little case to make the micro card bigger, iykwim? So basically, card in laptop, then just shove it in the Hudl? By shove I mean push it in not like bang it around.