Where on the computer do your downloads usually go? If it's the Desktop, then the icon is the application's disk image. Deleting it deletes the application contained therein.
Please read Writing an effective Apple Support Communities question. We are here to help. We are all users. We are not mind-readers nor clairvoyants. We only know what you write down and tell us. Be specific and thorough. Include your hardware information and installed version of macOS. Try to write clearly. Think about what you want to say before you write it down, then re-read it to see if it makes sense.
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