What happens when you right click on the installer package and choose Open? Folks report that you should be given a dialog to bypass the restrictions on a one-time basis. Better than changing the actual setting.
Otherwise, it's on the lower part of the System Prefs/Security & Privacy/General pane. You will need to click the lock icon in the bottom left of the pane and supply an admin password to unlock the pane for changes.
Late 2012 Mac mini, OS X Yosemite 10.10.4; Apple Watch, 38 mm silver AL, watchOS 1.0.1; iPad Air 2 & iPhone 6+, iOS 8.4