In Android 8 Oreo and higher the process has changed. So toggle this on, then you'll get a warning prompt. In stock Android this is below a Device administration heading. Within that menu there should be an option to enable Unkown sources. Find the option for Security or Lock screen and security (Samsung) or similar. For older versions of Android - before Android 8 Oreo so Android 7 Nougat and earlier - you need to go to your Settings menu.