So I'm confused. The Amazon help website has a list of 4 att phones that support the Amazon apparently, the captivate being one of them, but its still blocking the download. Is there something I'm missing?
AT&T pushed out an update to enable sideloading so you could use the Amazon appstore. If you are still unable to do this, I would give AT&T a call and complain. They should be able to push the update to your phone.
EDIT: Maybe I'm reading you wrong...will it not install, or will Amazon just not let you download the app?
Well, I click on the Amazon apparently download, and it acts as if it downloads, but then I gst a message that pops up and says something like, this app is blocked because its from an unknown source' or something along those lines.