You will have to uncompress ("unzip") the font. In order to do this you will need an application such as the shareware program WinZip to extract the font. Use this to uncompress the font to a temporary folder.
If you're using Windows XP, you may be able to open the .zip file just as you would open regular folders in Windows Explorer.
Go to Start > Settings > Control Panel > Fonts
Click on File > Install New Font
Navigate the browser to where your font is, select it, and then click on OK.
Simply drag-and-drop your font into the Fonts window (Start > Settings > Control Panel > Fonts).
You may also temporarily install fonts by double-clicking on their icon or name in Windows Explorer. This will open a preview window displaying a sample of the font. As long as this window stays open, the font will be available in most Windows programs. Nice when just testing the font.