Why cant i install downloaded software

I need to install my just dowloaded software but my mac says: you cant install from unknown sources.
Of course you need to be an admin user but most people are. My guess is that you need to change a setting in system pref.

Press

Systeminst icon

and choose

Systeminst secur highlig 

1. Click on padlock, type your user password and change to any.
Systeminst changetoany

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