If you're downloading a number of fonts and you're using Windows, this is one way:
- Download/unzip TTF/FON/PFM/OTF file(s) to a temporary folder (let's say C:\TempFonts).
- Open Control Panel and open the Fonts applet.
- Select File > Install New Font...
- In the dialog box, navigate to C:\TempFonts
- Ensure that Copy fonts to Fonts folder is checked
- Click Select All
- Click OK
You can now empty or remove the temporary folder. You new fonts will be available to your applications next time you run them.
If you're on a Mac, I haven't a clue.