Sometimes when you download an app from the web it doesn't have an installer. It simply requires that you drag the app into your Applications folder to start using it. However, these windows that contain the app usually don't have the sidebar turned on which would mean having to open up your hard drive and navigating to your hard drive.

You can avoid all this by clicking the little pill shaped button in the upper right corner to make the sidebar appear and them simply drag the new application into your Applications folder on the left.

After the copy is complete you can even click the eject button to the right of the disc image volume to eject it from your desktop all in the same window.