SA has correctly answered your question.
However, it occurs to me that many downloaded fonts arrive on your PC in a compressed format (with a .zip or .rar file extension). If so, remember to unzip the file first. (Double-clicking on the file will launch your unzipping software, which is built into XP or Vista. Then choose to extract the file to your Fonts folder, or extract it to somewhere else and then move it into the Fonts folder).
The previous paragraph only applies if your new font arrives as a zip (or rar) file. If the file extension is .ttf you can simply put it straight into the Fonts folder.
Chris