It would appear that you don't know your way around your computer yet. There's a couple of ways to do this. If you want the fonts in your system fonts, do what Patrick said, or, go to;
c/windows/fonts. If you have a type manager, you can load them there as well, or you can put them in
c/program files/common files/adobe/fonts. If you do it this way though, the fonts will only be available for use with adobe apps (PS, ID,Ill etc) If you use Quark or MS Office and so on, they won't be accessable. If the font came with a read-me, a disclaimer or anything else, don't install that. Just the font. be sure it's a PC font, not a Mac font. Some 'open type' fonts won't distill if you make PDF's.