Any fonts that you download have to be installed on your computer before you can use them.
If you download a .zip file, you would need to unzip the file (using a program like WinZip).
You will probably be downloading TrueType font files (most of the free fonts are in this format... the other format is Type 1 Postscript fonts, and you would need a program such as Adobe Type Manager to use them)... the TrueType fonts have .ttf behind them.
When you download, be sure to save them all in the same directory so you can find them (make a "downloaded fonts" folder on your hard drive... makes it MUCH easier to work with!)
When you're ready to install, it depends on what version of Windows you're using as to how you'll do it.
In Windows 98, you'll open Control Panel, and then Fonts. Click on File, then click on Install New Font. You'll find the drive (if you have more than one) and folder your .ttf files are in, and then click on the font names you want to install.
In Windows XP, you can click on Start, open My Computer, go to your C drive, open Windows then open Fonts. Then go back to Start, open My Computer, and this time, open the folder that has your .ttf files in it. All you need to do is drag the files from the .ttf folder to the Fonts folder, and they install themselves.
Once your fonts are installed, you can access them through Wordpad, Word, Wordperfect, Publisher... whatever you use to type in. You'll just select the font you want to use, type away, and print it out.
You'll want to know a little about point sizes, too. All text is done in point sizes. Standard letter-sized text is about 11 points. 24 points is about 1/4", 48 points is about 1/2", 72 points is about 3/4", and 100 points would be about 1" high.