It depends in part on the kind of software you are downloading. A lot of software downloads start off by downloading an installer which needs to be 'run' to install the actual application. Some software comes, as it were, complete and may just install.
It also depends on your browser settings. IE, by default, offers three options when you donwload a file 'Run / Save / Cancel'. If you click 'Run', the file will immediately start to run as soon as the download is complete. Firefox, by default, only offers the choices 'Save / Cancel'. If, as I do, you have it set to ask for a 'Save' location, you then get the the 'Save as' dialogue box, save it and then run it. If it isn't set to ask for a location, then it will save it into your downloads folder in MyDocs.