Well, there's an immediate answer, which is that INLA isn't on CRAN, so you have to install it thusly
install.packages("INLA", repos=c(getOption("repos"), INLA="https://inla.r-inla-download.org/R/stable"), dep=TRUE)
But that shouldn't prevent you from
install.packages('sp')
first, since sp relies on some related packages to INLA but not that package itself.
But BIG caveat. If you are just getting started with geospatial analysis, sp is on its way out. It's own creators and maintainers are replacing it with sf, which is much easier to work with. Unless you have a compelling need for sp, I'd suggest starting off with sf.