Apple has removed the option to Allow apps downloaded from Anywhere in macOS Sierra. To enable this, use /Applications/Utilities/Terminal. Note, if you had Allow from Anywhere enabled in OS X El Capitan it will persist upon Sierra update.
Allow from Anywhere (Turns off the Gatekeeper checks)
Re-enable:
Allow from Anywhere (Turns off the Gatekeeper checks)
Code (Text):
sudo spctl --master-disable
Code (Text):
sudo spctl --master-enable