Trying to run app opens DMG file
I'm new to mac (MacBook Pro), so I have a bit to learn. When I download an app (DMG file), I move it to the Applications folders, where it appears to install. But when I return and try to open the app from the Applications folder, the window in the attached screenshot appears. Maybe this is normal, but I thought that the app itself would open directly. Instead, I double click the icon in the window, but then decline to change the app's settings. Thanks.
MacBook Pro (M2 Pro, 2023)