You can use Spotlight (cmd + space bar) to search for “Terminal” or use Finder to navigate to Applications > Utilities > Terminal.
Run the following command in your Terminal to allow downloads from anywhere.
sudo spctl --master-disable
Hit return and enter your password.
You’ll need to relaunch System Preferences and navigate to Security & Privacy and click on the General tab.
If necessary, click to lock icon in the bottom left to allow changes.
Then click “Anywhere”.