Re: Can't download a third-party app
What did the popup say? If we don't know, we can't guess. If you don't know, uninstall the app, restart the phone and install it again. Then read the popup before clicking on it. It may have said something to the effect of "Download X to make this app work?" and you clicked No.
Second - are you sure that this download was compiled for your phone, for your version of Android? Play does that. If the app doesn't come in a version that will run on your phone, Play won't show it to you. (And downloading apps from unknown sources is a good way to load your phone up with malware. Even in the Play store, a few apps were fount to be infected with "Agent Smith" malware, and removed. If they ended up on some download site that's not regularly (like every hour, around the clock) monitored for malware, you can destroy your phone. (Agent Smith replaces existing apps with malware of the same name, so looking at the phone won't tell you why some of your apps aren't working, or why your phone is loaded with ads.)
[And please don't double post.]