Why does my Mac do this and how can I fix it?

Whenever I install something (chrome being the only exception) it makes one of those drives you see on the right side of my screen. My Runescape client, Minecraft, and Skype all do this and you notice I also have placed shortcuts to them on my dock. The only problem is every time I turn the computer off, the drives are deactivated and the dock icons annoyingly turn into blank question marks. It's not really a major issue, but it's highly annoying and I want the icons to stay lit up as they are in the screenshot constantly even after a restart.

So I guess my question is multi part. Why does it make these drives? Is there a way to make it so it doesn't? Can I keep the icons as they are instead of turning into question marks? Can I just keep the drives on whenever I reboot?
Why does my Mac do this and how can I fix it

Thats because they come in.dmg files. Youre supposed to drag the file thats inside the drive somewhere like your desktop and then from finder you should see a little eject icon next to the drive and you can eject it (since you already have the app from it). Or you can instead just drag the drive into your trash (the trash turns into an eject icon when you have a drive grabbed)