Mis-understanding dmg files and installing apps

Hi All.
I'm realizing I have never understood how to use a dmg properly and how to dispose of it.
Normally I download some piece of software and I guess I double click on the dmg and it installs? Then I eject the dmg and it goes away?
Sometimes when I click open a app I get a prompt that says that this file has been downloaded from the internet and do you want to continue. I /think/ this is accompanied by my seeing a dmg icon for the app on my desktop?
I can't quite figure out if I have done something wrong when this happens.
Can anyone help/
TIA
Jon

I mount drive to see them but I just want to use the software and the dmg is just getting in my way.
anyone know what i'm missing?
If you are attempting to run (launch) the software you see on the dmg directly from that dmg, the finder isn't going to let you eject that dmg (e.g., dragging to trash, right-click dmg and eject) because the app on that dmg is currently open.  Is that what your problem is?
We may be mis-communicating past each other here.  You open the dmg and drag its contents to some place and execute the app (or whatever) from that place, not the dmg.  Alternatively, you press the option key and while it is pressed drag the dmg icon to some place to make a copy of the dmg as a folder in the finder.
Maybe I previously omitted the pressing of the option key when dragging the dmg icon.  Without the option key you would be making an alias which you don't want.  With the option key pressed, when you drag the dmg icon you should see a little plus sign on the icon pointer indicating you are doing a copy. Perhaps you were making an alias and trashing the alias which of course does not affect the mounted dmg icon image.

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