help installing on a mac

hiya, i have just bought a mac and need some help with installing software lol
after using a pc for so long, its strange doing everything differently!!

i am trying to install msn messenger
i downloaded the file from the internet (it had .dmg after it) double clicked that and put the folder on the desktop

however, when i double click the messenger logo in that folder, it sort of starts to open up then goes away

any ideas?

am i doing something wrong?

thanks!!
ryan