Architecturally speaking, there is a world of different. The "Download only stone application" runs exclusively on the client side, and the traditional three-tier web application launches small parts in a user browser (fantastic javascript) and most of it on web application and database servers.
In addition, downloadable applications are platform dependent. If you do not write it in Adobe AIR or Flash, most likely you will have to write once for Windows, Linux, and then Mac.
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