How do I install a downloaded program?

I just download VLC open source media player. It shows an icon on the desk top - like when you put in a flash drive. What do I do now to install it? It's not prompting me or anything.

Look for an icon as a 'package'....yellow/gold/brown - double click on that icon to start the installation process. Otherwise if you see an icon that resembles a traffic cone, just drag that to your applications folder, then double click to run it.

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