*Warning: It looks overwhelming, but after you do it once, you can do it in just a few seconds, it really is simple so don't get scared by all the steps. I just want to make sure that I'm sharing every single step so you can do it, m'kay?
Font files are always downloaded a zip file (well, all the ones I've downloaded are.) To access the actual font information to install it, you will need to "unzip" the file. To do this, right click on the zipped font file, then choose "Extract All" from the pop up menu.
Now, when you open up any font capable program, like Word, Picasa, Photoshop, etc. the fonts will be ready to go.
Looking for some fonts to start with? You can find some great ones in my free fonts collections
15 Fabulous Free Fonts
Eleven Lovely Free Fonts
Free Calligraphy and Script Fonts
15 Fun & Free Fonts