How do I set the link in the Custom Post Type admin menu?

I’m not sure where you got the idea that adding ‘download_donors’ would do what you want, it’s nowhere in the documentation, and it IS being bundled with the labels, it’s just that nothing makes use of it.

The labels when registering a post type are not definitions for admin menus.

If you want to add an admin menu, you need to do it the same way everything else does it via add_submenu_page

http://codex.wordpress.org/Function_Reference/add_submenu_page

e.g.:

add_action('admin_menu', 'register_my_custom_submenu_page');

function register_my_custom_submenu_page() {
    add_submenu_page( 'tools.php', 'My Custom Submenu Page', 'My Custom Submenu Page', 'manage_options', 'my-custom-submenu-page', 'my_custom_submenu_page_callback' ); 
}

function my_custom_submenu_page_callback() {
    echo '<h3>My Custom Submenu Page</h3>';

}

Making the menu link to an external page won’t be possible, you’d need to intercept the page load and do a wp_redirect call, but that would be misleading to the user and bad UI. You’d be better off putting a big download button on your new subpage