I assume you want to record to a USB stick ? You'd need a USB stick with a decent write speed (not any cheap crap). Needs to be formatted, ideally as exFAT. Insert into X5.
From withing BuzzTV app, press Menu button, and go to PVR->PVR Options->Recording Storage Location. By default it is probably on "Internal shared storage". If it sees your USB drive, it will show it there. That is for PVR Recordings. Now if you want to download Movies/TV Series, you would need to setup the PVR->PVR Options->Download Storage" option. You cannot download to internal storage. so by default it is set to NA if you have nothing. Select it, and if you have USB storage, you can select it. Once you select some external storage, you will be able to "download" your VOD/TV Series.
However keep in mind that it is very dependent on your server and the number of connections you have. If you exceed you max connections, your download will stop/fail. Keep in mind that if you are channel surfing as it downloads, sometimes some servers take time to update and realize you have changed channels and may assume you have multiple simultaneous connections as you channel surf and will disconnect/fail your download.