Thanks everyone for the answers, I guess it is an WP thing. I am new to the Lumia and Wimdows Phone. Loving it, just bummed that I can't do what I could even do on my old BlackBerry Torch, namely, if a podcast episode has yet to show in the podcast app and I wanted to listen to it on the way home I'd go direct to the site and download the file to the SD card as an mp3 or mp4 file, and this would work, even over 3G. Now I have the much faster Lumia with LTE and it will only download to the podcast app over WiFi, (presumably to save carrier bandwidth) and will not download to memory outside the app. However I have watched streamed podcasts over LTE on YouTube and it works fine.
Overall love the phone and OS. Is it true there's no "file explorer" to see what files are on the phone in one place?