Is it permissible to download films and songs of untrustworthy content for friends, and if not, is it permissible to lie about being unable to download them?

You are not permitted to help them download movies containing immoral scenes and forbidden songs, because that is cooperation in sin and transgression. Allah has prohibited this, saying: "And cooperate not in sin and aggression. And fear Allah; indeed, Allah is severe in penalty."

Furthermore, you are not permitted to lie to them when you refuse, for lying is one of the grave sins and leads to immorality and the Fire. It is also one of the characteristics of the hypocrites.

What is incumbent upon you is a clear refusal, explaining that what they are requesting is forbidden by Sharia, and that you abandon the forbidden seeking Allah's pleasure and fearing His punishment. In this, there is a warning to them about the evil of their deed. A believer must be strong and clear in his adherence to Allah's command, and fear none but Allah.