@Vincentt – TERMINAL? How long has it been since you’ve used a Mac?
@rowenaz – I’m assuming, as a new user, you’re using the latest version of Mac OSX? You seem frustrated. Don’t worry, it will all be wonderful and smooth in no time. =)
Is the install filetype a DMG? To find out, Control-click on the icon and click “Get Info”. If it is a DMG, you have to eject the disc image first.
Open a finder window, look to the upper left-hand side of the frame. You should see something with an eject symbol next to it. Click the eject symbol. You may have an error here, if you have files within the disc image open. Close stuff until it ejects. Then, delete the original file by
(1) dragging to the garbage can,
(2) hold Control, click on the icon, and select “Move to Trash”, or
(3) press the Apple key + the Tab key + the Delete key at the same time.
or (4) going through Terminal, as @Vincentt said
Let us know if this works. Or maybe you tried using Terminal (doubtful, since it’s hidden within the Utilities folder and most users don’t even know what it is).