Let us know which version of PowerDirector you have. PD does not automatically download any media files from anywhere as far as I know. Please share what you see happening....
You have to select input media from either a folder (then it DOES automatically input all media from that selected folder into your media room, or specific media files. But always and only when you select input....
The only thing PD downloads automatically the first time, (and it scans specific folders after you open PD a next time) are the effects and transitions and titles etc, that are potentially available to you to download... But such download is done when you have the newest version 20 and a 365 subscription. Hence the version question.