Mac OS 10.6.8 - How move file out of "Volumes" folder?

I have downloaded an application but instead of going into my Applications folder, it went into my "Volumes" folder - when I try to move it out of the Volumes folder, I am told that I don't have sufficient permissions. This is "my" computer - how/where do I get permissions?

thanks,
Bill

Which application did you download? Normally, any application that is for OS X will install to the Applications folder or the Applications, Utilities, folder as required. Also, the only thing in my "Volumes" folder is an alias for my "Macintosh HD".