OK, I re booted and it's gone. It's like it was installed right, but the dam icon had a brain fart and didn't want to go away. Thanks for the help guys.
I want to make sure you fully understand what's going on here - because once you fully grok it, it becomes second nature.
Mac software as downloaded from the Internet typically comes in DMG files. DMG files are "disk images", that is, they're like a snapshot of a CD/DVD. When you double-click the DMG file, your computer "mounts" it, much like when you insert a CD into the drive.
This is why the icon for most mounted DMG files kind-of looks like a disk drive.
So, once it's mounted, double-click on it just like you would any other disk. Inside you'll find the program that is stored on the virtual disk. At this point, you'll typically want to drag the program to your Applications folder and drop it there. The program is installed once this is done and you can eject the virtual disk (and delete the original DMG file if you so choose).
Now, some programs (like OpenOffice) have a handy little guide with a link to your Applications folder. A link is kind of like a shortcut on Windows, it's not the Applications folder itself, just a pointer to it (this is why you have a little arrow symbol at the bottom corner of the Applications icon).
So, when you drag the program icon to the Applications link, it's redirected right into your Applications folder.
That was kind of a mouthful, hope you're still with me
....
Once your Application has arrived safely into the Applications folder, it can live there permanently. You can either open your Applications stack from the Dock and find the program and run it, or you can open the Finder, browse to the Applications folder and run it from there.
Now, another cool trick is this - if this is an application you're going to want to access a lot, you can drag it from the Applications folder and drop it onto the Dock. There it will live for as long as you so choose. If you want to get rid of it, just drag it out of the dock (it's still in your Applications folder, don't worry).
Hope that helps. It's a little abstract if you're coming from the Windows world of complex installers and zip files, but it makes sense once you "get it".