1) To to your control panel
2) Go to My Documents
3) Find the folder where your downloaded font is
4) Click on the folder of the font of your choice (the icon should have a zipper on it showing it is a zip file)
5) Once you've clicked on the file, you should see to the left "Extract All Files"-Click that it should take you through the Wizard to unzip the file (it's just a few clicks)
6) After it is unzipped, it should bring up a new box that shows your font--

(This is where my way differs from some peoples. I don't know if it's right or wrong, but it works!!)

7) Take your font and drag it on to your desktop
8) Go to your start menu-->Control Panel-->Appearances & Themes-->Fonts (mine is a folder on the side
9) Drag your font from your desktop into the open font window

Voila...done...in 9 easy steps~

I hope this helps. Like I said, this is how I do it. I don't really know any other way!