It would surely help to know what application you're talking about.
Hopefully you downloaded from a reliable known sourse.
The majority of applications now come as
.sitx ( stuffit compressed )
or .dmg ( disk image )
or .pkg ( installer package. )
If the application folder opens to an application icon then you just drag that
icon to your Applications folder.
Then you open it from your Applications folder to register and set-up.
If you downloaded from an unknown P2P network, I would be cautious.