Downloaded applications disappear after restarting?

Hi guys,
I'm not sure if this is the best community to post this question. But here goes.
I have several applications I bought online which seem to continually disappear on restart. At first I thought I imagined it, or I did something wrong. But now I can see it happens continually when I do a full shut down, at least on several applications.
Specifically, I notice it happens with my VPN client and with Skype. A full search of my computer will only find the downloaded .dmg files for both applications. (It could be happening with more apps, but these are the ones I use frequently, so these are the ones I notice.)
I just reinstall, but it isn't very convenient.
Any idea why this would be happening and how to prevent it?
Puzzled...
Cheryl

Welcome to Apple Support Communities
Do you run the apps from the DMG file or you copy the apps to the Applications folder? You must copy them to Applications. If not, you will lose them because you are running them from their DMG

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