I have it in my downloads folder. I now have it on the desktop as a blue screen with an arrow in the corner with the name Google Earth underneath it but when I click on it I go back into my downloads folder instead of it opening up.
You probably haven't installed Google Earth. The link on the desktop is a shortcut to the installation file. However have a look through your list of programs (start, etc) and you may well find Google Earth there. If it isn't there doble click on the google earth in downloads and install.