Yeah I remember the first time I had to figure this out. Absolutely incomprehensible, depending on the app you get. A lot of open source apps don't bother with a custom background and just have the two icons. Even if there's an arrow it's hardly clear if you're used to saner installation methods.

For a company that is supposed to be all about ease of use, this one is absurd.

And if you're wondering what Apple should do, if a .dmg file contains only an app and a link to Applications (or maybe some new flag set), when you double click it it should say something like "Do you want to install this app [Install] [Inspect disk image contents]". Very very simple.