Download a font file in a directory. Let's say c:\azadi
Double click on My Computer to open.
Double click on Control Panel to open.
Double click on Fonts to open.
Click on File in the menu bar to drop down the file menu.
Select "Install New Font..."
You will be given a dialog box to locate c:\azadi. Locate it.
You will find the font name in the upper left corner to select.
Select it and click OK.
Steps 2 through 6 can be pictured as:
If you still can't picture it, try this link.