Yes.
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You don't , it is saved to the "my photos" folder or the "screenshots" folder in your computer
download it then chuck its contents in a mods folder in minecraft .jar
Download the texture pack and put it into the Minecraft Texture Pack folder.
You just download a texture pack online, open you're texture pack folder through minecraft (or %appdata%), drag the texture pack into the folder, and select it though minecraft.
After you download it, go to your downloads folder, and then drag it on to your desktop. You should now have a shortcut.