Urgent Android Help

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http://forums.androidcentral.com – I'm having trouble with my newly bought Galaxy S3. It has to do with downloading applications. When I download apps from the marketplace I have no trouble. The problem is when I attempt to download and install third party applications. I have the box ticked where you can download third party apps, that's not the problem. The problem is when I download the app and click on it to install it, the installation button did absolutely nothing. It makes no motion our vibration, it's as if nothing had ever happened. I did try unchecking the box and restarting my phone, neither of those things work. Any (HowTos)