Click on the "Download" button, save the font file on your hard disk.Under Windows Vista : Select the font files (.ttf, .otf or .fon) then Right-click > Install
Under any version of Windows : Place the font files (.ttf, .otf or .fon) into the Fonts folder, usually C:\Windows\Fonts or C:\WINNT\Fonts
(can be reached as well by the Start Menu > Control Panel > Appearance and Themes > Fonts).
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).