If you are willing to watch a five minute video (yes, with Quicktime, would play fine on the Mac if you don't have Quicktime playback on the PC), it may help with some of the PC to Mac differences.

http://www.apple.com/findouthow/mac/#switcher (This is the PC to Mac: The Basics one)

Running the application from anywhere is fine, the reason I said proper way is that most people put their applications into "Applications", much like most Windows users put their programs into "Program Files". It's more of an organizational thing, and less an exact operational procedure.