If it’s in a .Zip file, upzip it first.
Then follow carefully these extremely difficult steps:
For Windows Vista
Right-click on the font file (.ttf, .otf, .fon), then click Install.
For Windows XP
Put the font file (.ttf, .otf, .fon) into the Fonts folder, usually C:\Windows\Fonts or C:\WINNT\Fonts.
For Mac OS X
Put the font file (.ttf, .otf) into /Library/Fonts.
That’s it! :D