“As a Windows user, it’s a very surreal way to install a program” 
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Of the many oddities that a beginner has in macOS, the way to install applications is one of the most curious. Just drag the icon anywhere, preferably the /Applications directory. Installers (*.dmg files) usually open windows in the Finder with instructions. Marcin Wichary collected a handful of them to analyze the different ways developers guide users.