For all distributions your preferred method of installing applications should always be from the distribution repositories. So for Fedora this means using DNF from the terminal or a graphical tool from your desktop environment (e.g. GNOME Software for GNOME). If something is not available in the Fedora repositories, you should try to find and add a third party repository to your system. RPMFusion is a popular one because it includes some software that Fedora can't ship due to licensing issues.
Some applications are also available as flatpaks, this includes some popular proprietary applications like Steam, Spotify or VS Code. GNOME Software also allows you to install and manage Flatpak applications or you can use the flatpak
command from the command line.
Manually downloading and installing RPMs should be your last option -- when installing from a repository (or with flatpaks) your applications will be updated when a new version is pushed to the repository, you don't need to actively check the website for a new package to download (you still need to actively start the update using DNF/flatpak, but it's one "action" for all your applications).
And you can also compile the application from source but you should be able to avoid this and install everything you need from repositories.