Hello,
Launch Kodi and click Settings (click the cog icon on top-left of the home-screen)
Click System if you have Kodi 18.7 or System settings on Kodi 17.6.
Click Add-ons on the left and switch ON Unknown Sources on the right side.
Click Yes to confirm your intent.
Thanks.
For more to go:-
how to setup kodi
complete kodi setup