So this is the first desktop application I have ever written.
Over the weekend, I set up Adwords, and started getting some clicks.
What is my next step here? Should I continue to work on the software?
You need more thank clicks. You need people to buy. Are they buying?
If they are buying, start to measure. For example, how much do you have to expend to get one sell? make different campaigns in adwords, and see how that reflects on your sells. See what drives more traffic, to figure out what gets people attention.
Then start improving the software in the direction that you are getting more clicks.
Not every software has at least one bug, thats bs.
does a hello world app have at least one bug? No. Computers always follow instructions, so it is possible to eliminate all bugs from a software
Kim, getting downloads is a good sign since it means there is 'some form of interest' in your product. The next steps should be about understanding your target audience and measure their interest in your product so you know what direction to take. Two critical metrics are:
1 - Web Analytics: Get to know who are your visitors are what they are searching for to arrive to your product.
2 - Software Usage Analytics: Start measuring whether people are just clicking on your download button and stopping there, or else whether they are actually installing and using your software. If so, HOW are they using it and which features or product sections are they using most? This will give you a good idea of what your customers are looking for so you know on what areas you should focus your development.
Once you have these non-intrusive measurement tools in place you can start experimenting with different features and see how users respond to them. The trick is to always listen to your audience and give them what they want.
You should keep working your software and make it better,
Remember, nothing is perfect, every software product has at least one bug.
I think it would be good to track the conversion rate, for example with something like mix panel or kiss metrics.