It sounds to my like you haven't installed it yet, the file is just mounted. Open Finder, and under devices (top left), you'll see that drive type icon again. Click on it. (I'm guessing from here, as I haven't installed the app myself yet) You'll probably see a selection of files. Drag the application file, and drop it into the applications folder (under places - far left of Finder).

It should now be installed. You can now eject the mount (the little button to the right of the drive type icon), and the icon to open the application will be located in the applications folder. I hope this helps.

Ed