Total mac noob needs a little help!

Hi everyone, Just got an imac and just a few things are bugging me, i installed firefox and msn messeger, and underneath my Mac HD icon, there are white disk box thingys that wont go away, why is this? is it because the programs havent been installed properly and are running off the exe's or something? (i hope that made sense) so yea thats annoying, and also it wont let me delete my trash can msn file cause it says it is being used, but i dont think it is? maybe im not installing my programs properly i'm unsure, if someone could help me this would be great, there is probably a thread about this somewhere else but i had a little look and didn't find anything, thanks!

http://www.imamac.com/2006/10/01/basics-installing-dmg-files/

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