Most programs use a number of files besides the program file. These other files are often stored in the same folder as the program file. Program files are usually installed into a folder under C:\Program Files, (or D:\Program Files, etc.).
For example, the screenshot here shows that a program called Macromedia Dreamweaver is installed under C:\Program Files\Dreamweaver 3.
The actual program file is called Dreamweaver.exe. However, there are a number of other files (most of which are in subfolders) that have been installed with the program file.