Open a non Apple application in Catalina
I have a Logitech Internet "Squeezebox Boom" radio which can no longer access the latest application it needs to work. I have downloaded Logitech Media Server Installer package 7.7.6. containing 49.2 MB which clearly shows up in Finder Downloads when I click on "Details". However it will not install because I understand that the Apple Privacy and Security system won't allow it as it has not come from the Apple store. I gather there is a way around this, but can't find what it is. I am running Catalina 10.15.6. on my iMac.
I have seen a couple of solutions using Terminal, but they apply to older OS X systems, not Catalina.
Can anyone provide me with a step-by-step solution that this 85 year old can follow to get my Squeezebox Boom working again?
iMac 21.5″, macOS 10.15