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From the Market to where???

You don't need to worry about that as the app is automatically installed on your device straight after the download.
If it fails installation, you can try to re-download the app/check if you have space on your phone.

...also, I believe, that is not how the apps work. You do download the app "installer", but that is extracted and installed on your phone, and the app "installer" is then discarded.
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