downloads stay as limewire files, cant install applications

just started using a mac and all the programs I download stay as limewire files. With a pc I double clicked the file after downloading and it launched the setup to install the program. someone suggested changing the filename but this didn't work, it still tries to load all files into limewire. saying all this, I'm new to macs and I'm presuming that a .sit file (the type i'm downloading) is an installation file for the mac. am I doing something stoopid? please help as I'm lacking loads of software. thanks!