When you download new software to your computer, you'll often need to run its installer first. An installer program contains a compressed and packaged version of an application in a single file to make it easier to download. When run, it unpacks it to your Program Files folder (in Windows) or Applications folder (on macOS). An installer may install an application for the first time, or update an older application to the newest version.
Installers may also make changes to your system configuration settings. Many applications will associate with a particular file type, automatically opening files of that type in the new application whenever you double-click one. Installers may also tell your operating system to run the new application automatically whenever the computer boots or make other changes to how your operating system runs. Some system configuration changes may require you to reboot your computer after running an installer.
Not every application needs an installer. Some applications that don't require system configuration changes, resource folders, or file associations may be opened and run no matter where they are. You may find it helpful to place these applications in your Program Files or Application folder regardless to make them easier to locate when you need them.
NOTE: Many installers will create an uninstaller program that will automatically remove the application, its resource folders, and the system configuration changes if you don't want the application anymore.