Downloading a file just means transferring it from someone elses machine to your machine. Whether you need to install or not depends on what you downloaded. If the file is a programme, such as mIRC, then generally yes, it needs to be installed (unpacked) so that mIRC and it's supporting files are arranged in a directory. If the file is a picture or word document then no, these don't require installing though they do require a supporting application such as MS Paint or MS Word to open that file and display it.
