Extension Files on desktop.

i have just bought a 13" macbook pro and im very new to Mac OSX i have started downloading all of my favourite programs, such as VLC player PS3 Media server etc.... the problem is that when the programs are downloaded i add the main icon to the "dock" but i then have a file extension that stays on the desktop. when i delete the file it makes the dock icon turn into a question mark.

Am i missing something ? Please help.

 

Screenshot

Here is the screenshot. Youll see on the top right of the screen the files that i am talking about. and down in the dock you can see the actual icons for the programs. when i eject the files on the desktop or move them to the trash. the dock icons turn into question marks. and when i click and drag them to a new folder it just copies them and leaves the originals. im sure it's something simple.