Help Please!!!

i would really appreciate any help. I have recently purchased a new imac intel core duo. I have downloaded a few programs to use. I downloaded msn messenger but it leaves an icon on the desktop that i do not want. it has left a messenger511.dmg icon and when i remove it the mac wont let me open msn messenger. I am also unable to hide or move the things. I really don't want these to clutter up my desktop.

The installer puts a disk image file on your desktop and opens it. You have probably run it from this opened disk image (.dmg file). To install it permanently, simply drag the file to your Applications folder (available via the Finder window or via CMD+SHIFT+A). You can then close and discard the .dmg file and run your application from the Applications folder, or if you use it a lot, from the dock.

To add it to your dock, just drag the application file from your Applications folder to the dock. The icons there will magically move aside to make room. Release the mouse and you are done. You haven't actually moved or copied the file, just created an alias to it.