Most Mac apps I download simply install & run, there's a .APP somewhere. But some download a .DMG file which is described as being mounted, like some sort of weird virtual disk drive. I seem to have to remount this after starting my Mac and then find the app inside this 'drive'.

I really don't understand this... am I supposed to manually copy the .app onto my main drive or something? I'm really not a Mac/*nix guy, is there some Windows parallel that can be used to help me understand?