If you turn off S Mode you will be able to download programs from any source and not just the windows Store. S Mode is an extra layer of security that only allows verified apps from the Store to be downloaded and install.
Something like an Android and Apple phone. The difference is Microsoft allow it to be turned off if the user is happy to download software from other places.
You can still download from the Store as well as websites of your choice.
It's only one way though, once windows is switched out of S Mode you cannot go back.