So, you download a file, and it's something called an "image" which opens in Finder like you'd inserted an external thumb drive. Fine. You open the image, and inside is... Your own Applications folder? Wait, how can the file I downloaded contain all of my apps?
This kind of indirection is natural to developers and other advanced users: the file you got from the internet doesn't really know about your Applications, it's a link to a generic system location that gets resolved by Finder. But for less advanced users it's oddly circular: this virtual disk that came from the internet has my data in it. It's something that never happens with an actual thumb drive.