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".
Now you should be able to download whatever you were trying to download before you found this guide!