I have downloaded an application (VLC) from my browser (Firefox). I can open it, but I don't know how to put it with the other applications, like in a folder, so that they can be accessed with the search app.
Thank you.
The simplest way to get the effect you're desiring is to follow best practice for installing Linux Apps.
Leave behind that download from the browser and launch Terminal instead. Type this command to install VLC:
sudo apt-get -y install vlc
It'll even show up in the search app!
The answer of @Rakaim should be your default attempt.
Anyway if you download a newer Version usually you get it as a *.deb file. Then you do
sudo apt install gdebi
and
sudo gdebi PATH/TO/DOWNLOAD.deb