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I think you mean mounting a disk image. That means it will mount the disk image (a "folder" than holds the installer for app). Just mount it and it will open and you can do the thing you were after (install an app)
 
Most applications come in .dmg files from the net.

These files open like a virtual drive of sorts, they appear on your desktop and open a new finder window which usually just tells you to drag the icon from the virtual drive window to your application directory.

You can then close the finder window and drag the mounted drive on your desktop to the trash.

Installing applications in Mac OS is just that easy.
 
When you download certain files which are in an image format like .dmg (Disk Image) or .iso, you can double click on them, which opens them and attach it to your Finder Sidebar as an extra volume with read (and maybe write) rights. You copy or execute the file inside that open image and after the process has finished, you simply eject the image and maybe even delete the original downloaded file if you want to.


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​

Mac OS X Keyboard Shortcuts - Learn about common Mac OS X keyboard shortcuts.​

Mac OS X Beginner's Guide by MacRumors - learn about software, media players, shortcuts and some useful tips, tricks and hints​

Mac Guides - tutorials, product guides and more​

MRoogle - a very effective tool to search these fora using Google and made available by edesignuk, introductory threads: 1, 2 and 3
 
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