Application icons on desktop?

Not sure where to post this.

When I open up certain apps, for example M/S messenger, I get an icon that sits on the desktop. How can I get rid of this (and why does it do it), as I've got about 4 apps that I use reguarly that does this and its cluttering up my desktop.

I've attached a screen grab of my desktop so you know what I mean.

Thanks all.

You didn't properly install the programs. You have to open up those disk icon's, and drag the file inside to your Applications folder, and from their you drag the icon to the dock. You can now eject the disks and they will not appear anymore

Yay that worked, thanks trpnmonkey41!