You cannot download DSiWare directly to the DSi Menu (the top-level icon grid). All DSiWare purchases and downloads are managed exclusively through the DSi Shop application.
The DSi Shop closed on March 31, 2017. You can no longer purchase new DSiWare or Nintendo DSi Points. You CAN still re-download previously purchased titles:
If you never bought a title before closure, you cannot get it officially now. Homebrew (Unlaunch, TWiLight Menu++) enables installing `.cia`/`.nds` backups, but that's a separate topic.