Since Sierra, the Gatekeeper functionality removes ”Anywhere” as a viable location from which to install applications. There are a few ways to override this but I’m a little annoyed they are all cmd line and there is no easy interface in System Preferences.
Spctl manages the subsystem for security assessment policies. This determines whether files, folders, apps etc. can be installed, executed or something similar. For a full set of commands you can run man spctl but these next two should do the trick.
To disable Gatekeeper completely:
sudo spctl –master-disable
This will add the Anywhere option back in.
To add an Allow entry for one app only, you can use:
sudo spctl -add -/Home/Henry/Downloads/myApp.app
This will add it by path. You can enable Gatekeeper again with the following command...
sudo spctl –master-enable
...which you should probably do, because the minor annoyance of Gatekeeper is outweighed by its usefulness. It's more fun to turn it off on someone else's Mac.