Why can't I download games, apps, etc from any site except the Official Android Market? Every time I try to download any of the games I love from any site except the Android Market, my phone tells me that the settings are set to not allow unknown apps to be run on my phone.

By the way I have an HTC Destiny. Don't have a book for it. If anyone could help me, I would appreciate it greatly. Again thank anyone who can help. I'm a total newbie to the android world, but think I will b a fan if i can  just figure a couple things out!! Lol.
You can allow your device to install non-Market apps by going to "Settings" > "Applications" and checking "Unknown Sources". This should allow you to install non-Market apps although your settings menu may be slightly different. 

Once you have it enabled check out this question if you need more info.

If you are on AT&amp;T in the U.S. you should check out this question.