What you download is a disk image (DMG file) that expands to a mountable drive with the program inside of it. You are then supposed to drag the application to your Applications folder in order to install it. That's it!
There are no stupid questions, just stupid people. But I don't think you're one of them! That's a pretty common question, as the Mac drag and drop installation can be a bit ... surprising in its simplicity coming from Windows.