Not all devices or Android versions are capable of this. Go into your phone's "Manage apps" menu under Settings and try selecting individual apps. If an app can be moved to sd, there will be a Move to SD card button. Note that not all apps can be moved, and widgets can never be moved. Also, this only moves the app's data; the app itself will remain on internal storage.
I have to wonder why you don't just download the music to sd instead of trying to move everything else though. This would give you the added benefit that you could remove the card and plug it into another device or computer, thus providing a mobile music library.