Ok, to control click is to hit the Control key on the keyboard and click your mouse at the same time (o right click on your mouse). So, you first highlight the app icon and then control click.
If you do want to try Terminal, that app is in your Utilities folder inside your Applications folder. Launch that and please note: you have to type (or copy and paste) this command exactly including the dashes:
sudo spctl --master-disable
After that is done, quit Terminal and open again the Privacy & Security Pane; unlock it with your admin password and the anywhere option should be there. I would NOT recommend leaving that option ticked - once you've gotten Dropbox, put it back to appstore & developers. It is safer.