After downloading software and running the setup program you might be able to delete the setup file.
If it was a EXE file , make sure it’s only a setup program and not the actual program itself (in most cases, it’s only a setup program or has the word “Setup” somewhere in the name). The way most setup programs work is as a “package” for the program and its associated files. It installs the program and files to where they belong, and then it just sits there, taking up space.
HOWEVER… make sure that if something happens to your computer you’ll be able to re-download the software, should you need to re-install it. If there is any question about the future availability of the software, it may be a better idea to save the file to a thumb drive, cd-r or dvd-r, just in case!