The operating system is also configured to prevent app installs from unknown sources. If you have never had to install an app from anywhere other than Android market you will be presented with the following message.
For security your phone is set to block installation of applications not obtained from the Android Market.
To enable installs from other sources you simply need to do the following steps
Settings >> Applications >> Unknown sources
Once you have installed the app, you should recheck the box again to prevent any malware that you accidentally acquire from being installed on your Android device.