How do I install software from the internet?

I've downloaded Blender 3D from their website and when I try and install it, it comes up with an error message saying come thing about the Security Settings wont let me install software from the internet.

I've tries looking through all the possibilities in System Preferences and I can't find which one will let me adjust the settings.

So my question is; How do I change the settings to allow installs to happen with software form the internet and not just the app store?

Thanks

System Preferences -
Security & Privacy -
General tab (you will need to click on the lock at the boottom and unlock it) -
put a check in Allow applications downloaded from "Anywhere".


This does open your machine up to drive by malware installs if there ever happens to be one for OS X.
If you want to feel all safe and cozy - go in and change it back after you've installed your software.