Android supports sideloading, which allows you to install apps from outside of Google Play. However, this is disabled by default for security reasons. To enable sideloading, open the Settings app on your Android, tap the Security category, and enable the Unknown sources check box.
Note that this can be a security risk, as it allows installation of apps from outside the Play Store, which could potentially contain malware. If you enable this setting, it’s your job to install applications responsibly — stay away from pirated games and other apps that may contain Android malware.
After enabling this setting, you can download an Android app in .APK format and install it on your device. For example, you could download the .APK file in your Android’s browser and open it from the Downloads app. You could also download the APK file to your computer, copy it over to your Android’s file system with a USB cable, use a file manager app to browse to it, and tap the APK file to start installing it.
Sideloading allows you to install a variety of apps that aren’t available in the Play Store, such as the XBMC Media Center for Android, various emulators that have been removed from Google Play, and third-party app store apps like the Amazon Appstore for Android and Humble Bundle app.
This option may not be available on some devices if the device’s manufacturer or carrier has disabled it. AT&T once did this, but it’s become much less common. Most devices should have the Unknown sources checkbox.