By default android doesn’t allow installing apps from unknown sources, is other than Google play which is official android market. Sometimes you wanna try any decent app from XDA-Developer like backup or rooting apps that usually aren’t available on Google play.
To allow Unknown Sources press the menu button that is left to the home button and then go to settings or alternatively just go to home screen and then go to settings and then choose application settings and then check the first option which is ‘Unknown Sources‘. Then press ok.
After Installing an unofficial app it’s bettor to turnoff the unknown source option again because it will secure your phone from installing any virus or malware app.