By default, when you download GIMP, it will go into your Downloads folder (provided you have not changed this destination).
Open a new Finder window before you double-click the GIMP installer, because it does not include a link target to your Applications folder. From the sidebar in the new Finder Window, click on Applications. Scroll to the bottom of that window, then drag and drop the GIMP-2.10 application icon from within the installer into the Applications folder.
Because GIMP is not installed from the Mac App Store, you first need to right-click on it and choose Open from the secondary menu. There will be a brief pause, and then you will see a progress bar where Apple's Gatekeeper is verifying GIMP. Then, another dialog will appear:

Click the Open button, and GIMP will then launch. From this point forward, GIMP will launch like any normal Mac application, and this was just a one-time ritual that one must perform to validate applications not obtained from the Mac App Store. Eject the GIMP installer from your Desktop.