What Marian has quoted is the way it works, Mad. While GOG Galaxy is essentially the GOG downloader which is helpful in downloading a game all at one time rather than having to separately download 2, 3, or sometimes 4 separate parts, it also has other features such as allowing you to communicate with other players etc. I'm not too fond of any of that, so have just been using the download part.
I actually use the Steam client in the same way for most of my Steam games. Once downloaded, I back them up and then select the option to NOT have to use the Steam client to play the game. If it's a new game, I will let it use the Steam client for a while as there are often game updates and patches issued by the developer. But after that, I set it to just play from my computer.
Heading out to the gardens...