Yes, you can download content from pleoworld.com to your computer and then save it to an SD card. (You may need to purchase a separate device to enable your computer to save to an SD card.) When you insert the SD card into Pleo's SD card reader, located in Pleo's belly area, Pleo will run the download.
No, any content software that you download will remain on the SD card. Pleo will run the software directly from the card. Only firmware is automatically transferred to Pleo's on-board memory.