Fortunately this is a simple operation. You do need to know where the font you've just downloaded is, however, so make sure that you keep track of where your browser saves it. IE4 loses the three letter file type extension to the filename. You need to rename the file to add .zip to the font name. You also require a ZIP decompression program to decompress the downloaded fonts.
First step is to decompress the downloaded fonts.
These instructions describe decompressing using WinZip . The process may be slightly different if you use a different program. Double-click the downloaded font folder to open it. You are then asked where you want to decompress the files to. Select a folder then click 'Extract'.