You will have to click on the padlock and type in your password.. then set allow applications from anywhere.
I wonder if you should consider getting a tech in to fix this all up for you.
Really if you have a totally new setup you really are going to take ages and ages to do this.. a tech can do the whole thing in an hour and show you how to do it.. I know computer companies sell you computers telling you how easy it is.. but setting up networks is not easy. Getting computers to behave is not easy.. if you enjoy doing it that is fine.. but if not think of it as a washing machine.. if it goes bung you are unlikely to get out a toolbox and start stripping it down.. a tech has studied networking for a few years to be competent to do it.. just like a washing machine repairman.. sometimes it is a well worth the house call to get it done.. properly the first time.
From an ex-techician who gave up because people thought you should work for free. Because computers are so easy you obviously don't need any special skills just please spend 3 hours talking me through fixing up my network.
A computer savvy relative .. usually young that you can bribe with sweats or older one with drinks.. can also be helpful.