Software for Mac OS X is often distributed on disk images (for reasons which have nothing to do with usability).
The disk image files have a .dmg extension. Double clicking them makes it mount the disk image as if it were a disk drive. You are then supposed to drag the software out of the disk image to your hard disk (Applications folder or wherever you like to keep it). Or there's an installer package in the disk image which you can double click and run the installer. After that you can unmount the disk image (drag to the trash) and trash the .dmg file.
"Easy" isn't it?