To install .apk files downloaded from Telegram, you need to open them in a File Manager app (tap next to the file> Save to Downloads and then open the file via the file manager available on your device).
Note: File Manager apps can have different names on different devices. For example, Samsung has My Files while Xiaomi uses File Manager. You can also install a third-party file manager app. Unfortunately, the default Downloads app will not be able to open .apk files.
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