If you are broadband and connecting via a router,you do not need to have the AOL software on your PC. The last time I formatted and reinstalled XP etc I decided that I didn't what AOL'S software on my PC,As I never did anything through AOL'S page anyway. I set up a Gmail account which pulls in my AOL mail and the only time I log into AOL is to clear out the spam.
Obviously you can store whatever you download on an external HD, but I don't see how you how you could even download iTunes without using Aol as it is.
In the past I kept most applications on a separate drive, but Aol didn't give me a choice being so tightly integrated with the OS. At that time I made a separate folder for downloads away from C: and still do so, more out of habit these days.
Surely any slowing of downloads is due to the loading of the host site and the speed of your BB connection. It should be possible for you to run another application without a noticeable slowness.