How to install applications

Hi
I have just got a MacBook and have a simple question which is very basic but I would like some help.
I recently installed a game and I noticed it saved it into my document area on the macbook harddisk.
Is this the correct place or will these installations clutter up this area and make backups difficult.
Coming from Vista I found it confusing during the installation process and no icon was put on my desktop. Instead I had to navigate to the .exe file which was buried inside the game files inside my documents folder. Is this normal.
Thanks

Carlouk,
Could I suggest you amplify your equipment description in your user settings for the site. So far you only say you run Vista. There is no mention of any Mac machine or Mac OS.
I use, on different machines, Windows XP, Windows Vista, and OS 10.5.6 (I should update profile also). I once used DR TCP to change MTU on a Windows machine and it ran from a .exe file downloaded as that, which I put in a special 'Run from here' folder. That aside the numerous downloads of Windows applications I have made almost all come as a zipped file. On my Apples these go into a pre arranged folder. Either a folder arranged by me or on the MacPro or one pre set by the OS. Even on the Mac Po when for various reasons I wanted to burn the .exes, I had to 2click to do the expansion. Of course the .exes would not install on the Mac though they did copy to the HD. When I say install I mean their components did not get parcelled out to various locations etc.
On the windows machines, except from Dr TCP, Win Zip unbundled the downloads to a folder determined by Win Zip and I installed (s.s) from there. In a lot of cases they were wireless drivers and managers so I had to pick the appropriate install file from the forty or so resulting from the unzip. The installer used the other files as material for the install.
In the case of the Mac OS apps there was either a .dmg file with an inbuilt installer that did the job of sending things to Library ,Applications etc etc. Sometimes there was a .pkg file that did the same.
In short the experience with Mac OS and also with XP or Vista was nearly always a complex installation process all done( for this bear of tiny brain) by the installers. Simply downloading a .exe file was rare, and as said those could not install in the true sense of the word, on a Mac

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