It is recommended by Microsoft as a more complete and thorough way to remove an application rather than using the proprietary un-install option on the software installed. However, occasionally some files and folders can be left behind and these will have to be removed manually from the "program files" folder.
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A "program" is usually a collection of files that are spread around your computer. So to delete the file in "Program Files" will just delete this file, and make it impossible to run this particular program.
So when installing, MS trace the files and links that are generated and allows MS to "remove" not only the program - ".exe" file, but also associated links to it, e.g. in the start-up menu, delete all the help files and delete references and definition stored in the "Registry".
MS is not perfect. This is a technology they acquired, when they discovered that others made software that could trace installations and associated files. - and remove every trace of the installation ("Install Shields").
There are some applications without uninstall icons that come with them. Add/ Remove programs gives you more control over your computer, allowing many applications to be changed or removed from your system. You can also remove updates. I personally recommend this as programs which have faults (like MSN Plus) which keep causing the computer to crash can be repaired.
When you use the Add or Remove Programs utility to install an application, the utility tracks installation files so that the application can be uninstalled completely, if desired.