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I want to download a app not in Google Play Store

Go to Settings for security and turn on 'unknown sources'. This will allow you to install apps from other sources than the Play store. In fact, if you download an app's apk, this needs to be turned on to install it. I advise keeping it turned off unless you are installing an app, though.
 
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There are plenty of reasons to install an app from another source, ie, gambling apps in the UK. As long it's from a legit source don't worry.

Of course, that begs the question about what a legit source is, how they are verifying the veracity of the app, what security measures they have in place. Even the mighty Fortnite which is only available outside the google play store, has been found to have a major security flaw which could compromise the device. Now Fortnite was noticed because it is popular and lots of people were looking at it. Smaller apps from other sites may not be noticed. So as Dannydet so wisely said.

Install at your own risk
 
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The source you wish to download from can be a good indicator of safety. There are curated repositories, such as F-droid (open source) or apkmirror (old versions of Play Store apps), which are pretty safe. There are developers who make apps that Google won't allow into the Play Store, such as many ad-blocking apps. Then there are sites that anyone can upload anything to, and sites which offer "cracked" apps (paid apps for "free"), both of which are very risky.
 
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