MacBook help - downloads on desktop

Hey guys. My macbook just arrived today. Now, I'm pretty happy with it atm. The one thing i noticed was that when I downloaded a game I enjoy, like Armagetron Advanced, it went onto my desktop in the drive section.

When I go to move this somewhere else, then it won't respond to it. So I for some reason deleted it and the other 3 files it came with it. How do I go about to have Armagetron, or other downloaded programs, on my PC (Mac that is a personal computer) with removing it from the desktop?

Thanks,
Kirby
P.S.: I'm so glad I bought it now on Amazon with a 24 month- free interest now other than buy it from an Apple retail store in June.

If you're referring to the Firefox/Safari download process that'd be in the preferences menu (cmd + ,) you can change it just as you would on Windows.

As for the game, most of them come in DMG format. Chances are you're running the game from the DMG. You should drag the app that's in the DMG to your applications folder. From there you can eject the DMG and get rid of it.