Finder > Preferences > General
Picasa is obviously the disk image (.dmg) which you mounted via double clicking the downloaded .dmg file. As you probably start the Picasa application from the mounted disk image instead of the Applications folder, you can't eject the mounted disk image while the application is still running.
Close Picasa, copy the Picasa application from the mounted disk image to your Aplications folder, eject the disk image, and maybe even delete the downloaded .dmg file if you want. Then start Picasa from the Applications folder or use Spotlight (CMD+Spacebar).
Also have a look at the following links, as the information presented there might be helpful in your future endeavours into Mac OS X and could clear up initial confusion and may even prevent harm to your system or your files.
Mac OS X Basics
Switch 101 - guide with articles made by Apple on how to accustom yourself, after you switched to Mac OS X from Windows
Mac 101 - How to get started with Mac OS X
Find out how - tutorial videos made by Apple on how to do certain thing in Mac OS X
Pro tips - tips made available by Apple for easier ways of doing certain tasks
MRoogle - a very effective tool to search these fora using Google and made available by
edesignuk, introductory threads:
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