Another question from a rookie.
When I install certain programs, they leave an icon on the desktop that I cannot remove (eject) unless I close the program. They look like installation files, but for some reason they need to be on the desktop when the program is running. Firefox was doing this for a while, but I uninstalled then installed again and it doesn't show up anymore. MSN messenger is giving me issues now - and a couple others I can't remember.
You're seeing a disk image. It's kind of a container for the program you downloaded. You're not meant to run the program from that disk image, you need to copy (drag) it to your Applications folder. Then start that copy. Later you can eject the disk image and delete the .dmg file which contained it.
Some programs don't play nice if you try to run them from the disk image.