How to get the samsung captivate to accept downloads from places other than the market?

Well I attempted to download something from the Browse and it appeared to be fully downloaded, and when I went to open it it said "INSTALL BLOCKED; For security, your phone is set to block installation of applications not sourced in Android Market. My question is: how do I turn this security off? if there isn't a way to turn it off then is there a trick to getting around it? ALL help is appreciated