how do i move an extracted .dmg file to hard drive?

[double dubba]

So I downloaded an app game.
I have the .dmg file, and I double clicked on it.
I got a white drive (looks like an external cd drive almost).
It's on my desktop, and I want to move it to my hard drive, but when I move it, it only adds a shortcut. If I eject it, will the game be erased?
i have mac os 10.6.6
Sorry if this question is redundant, but I searched the forum and couldn't find it (it's probably that simple!) and I just switched from a PC

 

[gbean]

you should be able to open the app folder and drag the application to your applications folder and then it should be loaded on your hard drive. but also look for any help files that might have some instructions.