Users do not have administrative privileges, which restricts them from installing software, so they must reach out for support.
However, for an administrator to install software, the user must first log out of their active session, only after which the admin can log into the local administrator account on the machine and install the program.
Is there any way to install the software while without first closing the active user session when remote screen sharing?
Have the administrator run the installer as Administrator.
There is a way you can allow users to install programs themselves. This would require you to have SCCM services setup on your server and clients. Once you have that setup, you can enable virtual applications installation. There's more on it here: https://technet.microsoft.com/en-us/library/cc161869.aspx