There is no need for concern if this is the very first time that you have downloaded an APK file in order to install a game or application. It is not at all unusual for people to inquire in this manner. If this is your first time, you most likely downloaded files from the Play Store or the App Store; as a result, this will be an entirely new experience for you. If this is not your first time, you are probably used to downloading files from one of those two stores. It's not unusual to download files using the APK format. Everyone on the planet does it. You have the option with Android to sideload applications from other sources than the Play Store ecosystem. Having said that, you must check that the website from where you are obtaining the APKs is a legitimate one.