It is sometimes different but as a rule you copy the patch into the folder where the software is installed using Windows Explorer then double click on it using Windows Explorer and it will patch. The software must not be running at the time.
What sort of download software? What are you trying to do?
Generally, if you have a program that has a security hole, you download a patch for it that fixes just that problem, so that you don't have to download the entire program again. There's an analogy here with a bucket: if you have a hole in it, you patch it, not just throw it away.