You do have an sd card, it would be the Vox's own internal memory which is stated as being 8 gb. It is called extsd if you are looking for it with a file manager like Astro.
However, I guarantee that you don't need Astro, (although I do have it, I don't need it to download books) as when the library's Overdrive url is set up as a catalog in Aldiko, it opens Overdrive and you can download directly into Aldiko.
I am thinking however that perhaps a little tweak on where your Aldiko app itself is located on the Vox is what allows you to do this.
Tap on the Vox's menu button, tap on Manage Apps and then tap on Aldiko. In the middle of the screen there is a box that says "Move to SD card". Tap on that and then app will be stored on the Vox's SD card instead of on the reader itself. Aldiko should then automatically save the books on the Vox's SD card (which is actually called extsd were you to look for it in Astro).
The link I am using to create the catalog (that works right now for me...) is
http://toronto.lib.overdrive.com/
If you use a different library, of course your link will be different.