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Normally when you download a OS X program, it is distributed as a .dmg file. Those files are disk images (you can make your own with Disk Utility), that when opened work like any other disk. Safari (and most other web browsers) open the disk image automatically when downloaded, but you can open it by clicking the file.
Also normally the programs are distributed by the .app file, which is the program itself. You drag and drop the file to Applications folder and then use it. Some distributions have also a file called Applications. It is actually an alias to the real Applications folder, so you can drag and drop the .app file there.
Once you have installed the program, close the disk image, drag and drop it to the trash can. If the program works fine, you can also drag and drop the .dmg file.
In OS X, you uninstall the program by dragging the .app file from tha Applications folder to the trash can.
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