It used to be possible to write to any folder on an SD memory card or USB stick, but Google blocked that possibility nearly 2 years ago. It made a lot of people rather angry because it was no longer possible to save pictures and other media to any folder of choice. Probably Google did this for security reasons to avoid rogue apps modifying or destroying your files. You can only save to a folder that is related to your app. If you try to write to any other folder you will get a "Permission Denied" error.