DOWN LOADS/INSTALL

I am new to DELL Computers and  NEW to computers,for real.Now,when I download drives for my new computer,I assumed that they would be installed at COMPLETION.But I have found out that they don't.I need as much help as I can get.A window opens and ask me where do I want to save it.SAVE IT.i THOUGHT IT WAS INSTALLED ON MY COMPUTER.what do i have to do to install these things on my new computer? H.E.L.P.!!!!