Click on the "Download Font" link

then click the "Save" button

then again click the "Save" button

then click "Open folder" button

Under Windows Vista :
Select the font files (.ttf, .otf or .fon) then Right-click > Install
Under any version of Windows :
Copy the file

Click on "Run"

Type "fonts" in the box and click "Ok

Right click and "Paste" the file in the folder.

Tip : if you punctually need a font, you don't need to install it. Just double-click on the .ttf file, and while the preview window is opened you can use it in most of the programs you'll launch (apart from a few exceptions like OpenOffice).