Let's see. The simplest question first: The only reason to download a program to your HDD is that otherwise the distribution would be taking up space on your SSD. Where you store the installation package has nothing to do with where the app will be installed.
I'm going to give a long answer, because I think I see a basic idea missing. Please forgive me if I am wrong. "Downloading" a program is like copying the installation DVD, if you have it, to your drive. It has no effect on how things run, or from where. It's just storage.
When you install a program, you unpack the installation package from the previous step, copy the unpacked files to a "program directory," and make entries in the start menu and (usually) the registry that tell Windows where that program's program directory is and other information needed to run it. At this point, the installation package is irrelevant to running the application. Although it's a good idea to keep it around, in case you have to do a rebuild later.
So far, so good. When you install a program, by default it is installed into a directory under "C:\Program Files" (did the C colon backslash get turned into a smiley?). This puts it on your SSD. When the program runs, it will be loaded from this directory, not from the installation package that you downloaded to your HDD, or that was on your DVD.
The short way to remember this is the difference between where you install them "from" and where you install them "to."
The great advantage of having programs installed on the SSD is that they load much faster than programs installed on an HDD. Loading a program takes an awful lot of random reads, and SSDs excel at random IO. So Windows installed on an SSD will boot faster, programs installed on an SSD will start up faster, and game levels installed on an SSD will load faster.
Finally, some people have so many games to install, or such large ones, that not all of the program directories will fit on the SSD. In this case, you have to pick some programs, either very large ones or ones that you don't care if they load slowly, and install them so that their program directories are on the HDD. Once this is done, when you run them they will load (slowly) from the HDD. There are two ways to do this, depending on how nicely the installation package behaves, but I don't want to go into them here.
---------------------------------
McCaffee will be running often, in the background, protecting your machine. It would make sense to me to do the default install with it, which will install it to the SSD. Remember, it doesn't matter where you download the package to; that should probably be on the HDD to save precious SSD space. But the program directory should be on the SSD so that this program can load quickly. It will be put there by default.
If you find that you will need more space to install all of your programs than 128 GB, then you have to plan in advance and pick a few large programs to install on the HDD. You will have to change the installation directory during the installation process, which is a different topic. My advice: If your programs will fit in 100 GB or less, install them all onto the HDD. Make sure that all of your data storage, like My Documents, is on the HDD.
Finally, let me point out that if you reformat the HDD you will wipe out everything on it. Do you have documents, pictures, game saves, or other files on that drive that you want to keep?