Download issue with all programs

I'm having an issue where every time I download a program (i.e. Firefox, Adobe Air, a photo uploader for Shutterly) the program saves to my desktop and looks like an external hard drive icon. These type of programs used to download to my applications folder (and LOOKED like applications) instead of cluttering up my desktop. What am I doing wrong? If I trash the external drive icon, I also lose the program.

In Safari, go to Safari->Preferences->General->Save downloaded files to: and choose the location where you want things downloaded. ~/Downloads is a good choice.
Once an item has downloaded, if it's an application, just move it from the download location (wherever that might be, such as Downloads or Desktop) to your Application folder.
What I think is happening, though, is that your downloads are still going to your Downloads folder and you are seeing the mounted disk images from the downloaded .img/.dmg (or similarly-suffixed) files. Open these up by double-clicking on the Desktop icon and then drag the required components to their destination locations (generally speaking, the application to your Applications folder). In some cases, the disk image will contain an installer, in which case you will need to double-click the installer to get the software you downloaded onto your machine properly. Read the instructions that come with the download, or on the web page of the source file.

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