I cant find where to "allow downloads from unknown sources" in my Samsung Galaxy S Captivate. My service is with ATT in USA. Can anyone help me? Please?

it should be under menu>applications
there should be an option above 'manage applications'

I have Manage applications, running services, development, usb settings. Nowhere in this phone can I find "allow outside sources"

ATT doesn't allow the option for "Unknown Sources". They are one of the few carriers who block this option before they put the android os on their phones. You could try rooting and installing a custom rom; if it's that important to you. Just be careful if you do decide to root or install a custom rom.

You can also find apps on app developer’s websites. Most commonly, these apps are either beta or specialty apps that a developer is trying out before investing the time (and money) to have the app listed in the official Android Market.If you are a developer and have your apps available via .apk download, please comment! We’d like to know what your application is, what it does, and why you’re not distributing it through the Market.