Why do i need to download Minecraft from the website every time I play?

Every time I want to play Minecraft, I can't just click a little icon on my desktop, I have to manually go to the website, download it, and run it. I'm worried that I'll have to repeatedly download it until my computer is like, full of Minecraft downloads.

You shouldn, t it, s one download and you istall it and keep the source in your hard disk