When downloading applications from the internet usually you are presented with a window showing the application and any associated files. Most of the time you will be instructed to drag the application to the Applications folder on your hard drive. The window looks like this most of the time.
The problem is that the Applications folder may not be accessible without opening another finder window. The quick way around this is to click the little button at the top right hand corner of the window. After you click this button the rest of the finder window will appear and you can simply drag your application to the Applications folder in the side bar. As shown below. [ UPDATE ] Some publishers are now adding an alais to the window so that you can drag apps directly to the Applications folder. Congrats to them for this nice touch.