How to enable side loading of apps on Redmi note 3

In order to install apps using APK file. You need to allow your phone to install from sources other than Google play

For this
Go to Settings -> Additional settings

Go to Privacy

Check Unknown sources (Allow installation of apps from unknown sources)

Click OK on warning message

Viola! Now your phone is ready to sideload apps using APK files. Just click APK files and install apps.

Let me know if you face any issues. Comment if this helped you. :)