Are you installing it into your font library? Please post what operating system you are using and someone can help you. I know Vista and might remember XP. There is someone who recently posted MAC instructions but I don't remember who.
With Vista, you need to extract the folder somewhere you know where it is (I have a folder called fonts in the download folder that I unzip to). Then go to start>control panel>fonts. Right click in the fonts list and select Install New Font. Browse out to where you saved the extracted font(s) -- you can do many at one time. Select the new font(s), then say install. Then it is installed into your fonts list and will be available to all your programs.