I need to download an Application from a Trusted source, but not an apple source.

I need to download an application from a trusted source, but not an apple source.  Application is apparently downloads, but the computer will not open it.  I have turned off my fire wall.  I should press control and then the app which should be in the applications folder.  It does not appear to be in that folder.

System Preferences  > Security & Privacy > General
Unlock the lock if you have to. Click the lock and authenticate.
"Allow applications downloaded from:"
Select "Anywhere".
Best.

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