When install apps from the Android App Market, normally the app are verified, so you can install them easily onto the Samsung Galaxy S2. However when you have downloaded an APK file, you will need to install it via an app installer. Because an APK file may not be verified, the system by default won't allow you to installed it, unless you enable the Unknow Sources from the application settings.
Here are the steps to do so:
1. Press the Home key.
2. Select Settings.
3. Now choose Applications.
4. Then make sure the Unknow Sources checkbox is selected.
You can now go ahead and install the APK file.