Since you gave no specifics, you're going to get my super-long answer...
From the font site, click on download. Choose Save, not Open. Save it some place you can find it on your computer.
Find the downloaded file on your computer. If it's a zipped file you will need to unzip it before you can do anything else.
WINDOWS VISTA UNZIP: double-click on the zip to open it, then either click on "Extract all files" or drag and drop the files somewhere outside the zip window.
WINDOWS VISTA INSTALL: Select the font files (.ttf or .otf ) from within the Extracted Folder or where you dragged then right-click > Install
WINDOWS XP UNZIP: You should have extraction software already on your system - try right clicking on the file and selecting expand or extract if it is listed. Have it extract to where you are or where you can find it.
If you do not have those choices, you probably need to download software - there are many free applications. I am currently loving ExtractNow. Here is a link to a safe download from CNet. http://www.download.com/ExtractNow/3000-2250_4-10038365.html?tag=mncol&cdlPid=10871941 It is free. It is easy to install. Once it is installed, you just launch it, drag your zipped folders into it and click Extract. What is really cool about it is that you can extract multiple files at once. That is a huge bonus, especially when downloading all those fun free fonts.
WINDOWS XP INSTALL: Go to your fonts folder. Either through the start menu > control panels > fonts (make sure you are using Classic View for the control panels - it's much easier). OR go to My Computer > Drive C > Windows > Fonts. Drag the new fonts (just the ttf/otf files) from the extracted folder or wherever they are into the fonts folder. A box should pop up showing that the font is being installed.
FOR VISTA OR XP: If the download was just a single .ttf or.otf file, skip the extracting steps and go straight to installing.
If you have any programs running you will need to quit and restart them before they see the newly installed font. Worse case scenario - if the fonts aren't showing up, restart the computer.