Most mobile platforms recommend you only install apps from approved sources to protect your security, and Windows 8 is the same, it'll only allow you to install trusted (digitally signed) apps from the Windows store.
If this proves a problem, though, and you're willing to take the security risk, then the system can be configured to run trusted apps from any source. Simply start RegEdit and look for the following string:
HKEY_LOCAL_MACHINE\Software\Policies\Microsoft\Windows\Appx
Right-click on the 'AllowAllTrustedApps' key in the right pane and set it's value to '1'
