I'm a Windows girl, so that's all I'm familiar with. If you use a Mac, maybe you could leave a comment and be of assistance to other Mac-lovers?
First thing, when downloading fonts they are usually saved in a compressed file format, usually .zip. Extract the file by right clicking on it and choose Extract All...pay attention to where this new folder will be created, usually it will open right up after it has been extracted. Then you have two options...
If you have Windows 7 (you are lucky) and can simply right click on the font file (usually either a TrueType or OpenType file format) and choose Install... Yes it is that easy.
If you have Windows XP or Vista, you will need to copy the font file (again usually either a TrueType or OpenType file format). Then you will open your C: drive, open the Windows folder, then open the Fonts folder. Once in the Fonts folder, paste the font file. This will install it.
Next, open up any program and the font should appear.
Hope this helps!
If you have any other questions or want me to feature anything on technology Thursday please let me know. I'm a technology teacher, so adding a little bit of techno fun to my blog each week is something I am loving!