download page opens into desktop

[5PEEDz]

hello,
everytime i open mozzila or MSN the hard drive for it,or just a file goes into my desktop...and whenever i click that file the only ting that pops out is a folder in which can drag the mozilla file into the applications.. how do i make it so that doesnt come out?

 

[ergdegdeg]

Have a look at this guide.