Many small Mac programs are like that. You either just get the program or you get some sort of compressed format that simply expands a single file out to the desktop...you're left with a single file either way that IS the program.
Just put it in your Applications folder and you're good to go. To remove it from your system, just drag it to the trash. That's it!
Larger apps like Final Cut Pro need installers and create preference files elsewhere, but the majority of Mac programs work like this...a single file in the Application folder.