They often are interchanged, but they shouldn't be. From Wikipedia:
In computer networks, to download means to receive data to a local system from a remote system, or to initiate such a data transfer. Examples of a remote system from which a download might be performed include a webserver, FTP server, email server, or other similar systems. Downloading or uploading is relative to the system involved, for example a PC downloads a file from a server while the server is uploading that file to that PC, it has nothing to do with the size of the systems involved (see Sideload below).
A download can mean either any file that is offered for downloading or that has been downloaded, or the process of receiving such a file.
It has become more common to mistake and confuse the meaning of downloading and installing or simply combine them incorrectly together.
The inverse operation, uploading, can refer to the sending of data from a local system to a remote system such as a server or another client with the intent that the remote system should store a copy of the data being transferred, or the initiation of such a process. The words first came into popular usage among computer users with the increased popularity of Bulletin Board Systems (BBSs), facilitated by the widespread distribution and implementation of dial-up access the in the 1970s.