Just to expand a little on what Terence said in his post (since you are a new Mac user)...
There are two places (normally) where you store your applications (although the Mac doesn't really care where you put them. There are also THREE Library folders (if you weren't confused enough, but the first one inside the System folder should not be modified in any way).
The first, and most preferred location to store apps, is in the Applications folder on the top level of your hard drive (represented as /Applications).
The second location, for users who do not want to share their apps with other users on their machine, is in the user's own home directory (represented as /Users/YOURUSERNAME/Applications).
Normally, most applications are automatically stored in the first location (neither of my machines even have an Applications folder in my user folder - maybe because I am the only user of the machines). I am sure, though, there are some installer programs that might want to install its application in the user's home folder instead of the top level apps folder (MSN perhaps being one of them), so long story short, you should be aware of where you install your apps, so that other users can also use them.
Cheers, and welcome to the Mac family!
Thomas
