Installing downloaded Applications

I received my Macbook for Christmas and it's my first Apple so I'm not all that knowledgable about the ins and outs, but I'm having problems trying to install any application I download from the internet. I have downloaded Mozilla Firefox as well as Flip4Mac and a dvd copy program. With Firefox I get an unexpected error (error code 10822) and with the others the installer begins but then fails as soon as the installer tries to create a folder to install to. Any help would be greatly appreciated.

Be sure you downloaded Mac versions. The following may help you acclimate to your MacBook.
MacBook
Mac 101: All Work and Play
Switch 101: Migrate to Mac
PC Magazine: Switching from Windows to Mac, Part I
PC Magazine: Switching from Windows to Mac, Part II

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