How to enable downloading from third party apps

If the app is not in the App Store, go to the General tab of "Security & Privacy" system preference and make sure it is set to allow apps that are not in the App Store.

Globuff wrote:

How am I able to download third party apps such as Firefox browser on Mac Air Catalina?

Is the device bound to Enterprise, mobile (MDM), active directory list ?

For a personal machine, ref:

Safely open apps on your Mac - Apple Support

As far as Firefox, go to the site and click the "Download Now" button.

https://www.mozilla.org/en-US/firefox/new/

Firefox is available to download here: https://www.mozilla.org/en-US/firefox/