Depends on what you've downloaded.
If you're on JIRA 6 or lower, then Service Desk is an add-on, which you can install via the plugin managager.
But, it's more likely that you're looking at JIRA 7, where Service Desk is a full Application and available in two ways:
In other words, your "download" of JSD is either an application you can install in JIRA, or it's a full install where you don't need the original JIRA install!
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