Might help if you told folks what you downloaded and from where.
Depending on what it was, it may just be you are not seeing the icon (if it has one). On the home screen if you press the menu button, and see a full screen of icons, you should be able to scroll down if apps are adding new icon at the end of the icons on the screen, and you are just not seeing it.
It could be that the app you downloaded installed itself as an option, in one of your menus.
So a little more info might help you get an answer.
