The more recent versions of Windows can unzip files without the need for any external software (such as the vastly overpriced WinZip). Try right-clicking on the downloaded file and looking for an 'Extract all' option, which will open the relevant wizard. If you do find that option you can set the destination path as C:\WINDOWS\Fonts. (That's where the Fonts folder is located in XP. It might be slightly different in other versions of Windows).
If you've not got the 'Extract all' option, you still don't need WinZip. A freebie such as 7-zip will do the job for you:
http://www.7-zip.org/
Chris