Can I download applications/programs that are Mac specific on my Windows PC ? Can I download applications/programs, dmg image files etc that are Mac specific on my Windows PC when and where necessary, and then transfer them to my Apple Computer, with no loss of function ?
In short, yes. Most application downloads are packaged either as a .dmg (Disk iMaGe) file, or as a package, ending in either .pkg or .mpkg. A .dmg is a regular file on Mac, Win, Linux, etc., so all you have to do is follow your usual transfer method and you can easily move it from PC to Mac.

On the other hand, .(m)pkg "files" are actually directories (just like the .app files in the Applications directory) so you need to take care to copy the entire directory from one device to the next. You can then install it like usual. However, many .(m)pkg packages are actually downloaded as .dmg files, so you shouldn't have any issues at all. Good luck!