To check where downloads go do this:- Safari>Preferences>General and about half way down the open window it will show you the default place for downloads. (I think it is desktop but I create a file in my home folder and thats where I download mine to).
Regrading MSN Messenger, I installed mine from Mactopia which explains what to do. IIRC you drag the icon into applications, (It could be onto your HD I really can't remember) and then you open it from your applications folder. Once it has been opened you can get get rid of the .dmg image which is probably sitting on your desktop.
I hope thats right. (It's late here and I'm knackered!)
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