Most are just drag to where you want it to be, and its installed. You can even move it and it wont have any problems. Others will have an installer, and will be kind of like a windows install, with steps to follow to install the program. If you have the option to open safe files under Safari, when you download a program, it should just open the package right up for you to drag and drop, or to double click an installer.
Games especially come with installers. You open up the cd, and double click on the installer and it runs you though the installation.