Yes ..
Many programs need to be "installed" to Windows. They will then (usually) have one folder (probably among others elsewhere) showing under it's name in C/Program Files/ ...
To check, if you double click the downloaded file and the program opens, you need to follow as below.....
Some small programs do NOT need installing to Windows to run.
Therefore, to keep the program safe and in the best location, it's best placed in Program Files.
Click on Program Files folder in Windows Explorer after expanding to find it. This will show all folders in RH pane.
R Click in that pane and selkect .. New ... Folder ..
Name that folder at bottom of pane (over the "new folder" name that appears) by the name of the program you are placing in it.
Then click on the folder in Program Files, so pane is empty
Paste or drag the .exe file into the pane.
Double click on the .exe to make sure the program runs ok.
R Click on it and "Send To ... Desktop ( create shortcut)"
Now, there is a shortcut to start the prog on the desktop.
Place here you like or drag onto Start/Programs menu off of the start button.