I dont no how to install anything on this mac!!!!!?

ok so ive had a macbook for about a year now ive never been able to ever install any non mac program. im no newbie to computers im actually 10 units away from being a netwrok administrator and im currently part of a company similair to geek squad for windows. anyways my monitor went out today so im putting my mac to use. well i come into the same problems, on windwos after a downlaod is completed a installation wizard pops up. wel after i get done downloading a program on this mac. it sits in the download window. if i right click( ctrl click) and select open on the downloads it does nothing how do i actually install anything on this mac!!! if you have yahoo mess or aim and you can post your sn id deeply appreciate it, or you can try to answer my question here cause people have tried before but iven ever been able to install a non mac download