If you've got windows, I know on XP you go into your hardrive, program files and then you'll probably have to do a search to find the font folder (if it's not there then it might not be in program files, the search will just take a lot longer)
In theory, anything windows will have it in roughly the same place. You'll know the folder because it will have a list of all the fonts you usually see when in word etc. double click on one and it will show you the alphabet in various sizes.
Once you're in the right folder you copy and paste the file in.
If you're not using word, just ignore me completely because I can't help on other systems, though they should still work on the same theory.