Most Mac OS X files that are downloaded over the Internet are compressed into disk images, hence the .dmg at the end (sometimes they'll even be gzipped and you'll notice the .dmg.gz at the end as well). Once you double click it, the file will turn into a disk image on your desktop. In there, you'll see the applications along with instructions on how to install. Usually it's just a straight copy over to the Applications folder on your hard drive. Sometimes it will be an installer.