OK, I've successfully downloaded a program. The file is on my hard drive.
Programs come in two formats.
Here is the sure fire, safe way to install an application you download from the Internet. Disconnect from the net and close all open applications. If it is an .exe file, simply double click on it. The file will either install itself immediately, or it will decompress itself and leave a file in the same subdirectory called either setup.exe or install.exe. Double click on the install or setup file to begin your installation.