Windows:
(only Win2000/XP/Vista supported - earlier versions have limited OpenType and Unicode support)
1) Unpack the zip file (using the built-in unzip function of Windows, WinZip or any other unpacking utility)
2) Put the font file (ends with .otf or .ttf) into C:\Windows\Fonts
2b) Easy option for Windows Vista : Right-click on the font files > "Install"
3) Quit and restart any programs you had open (no need to restart your machine)

Mac:
(only MacOS X/10 supported - earlier versions have no OpenType and Unicode support)
1) Unpack the zip file (using the built-in unzip function of MacOSX, StuffIt Expander or any other unpacking utility)
2) Put the font file (ends with .otf or .ttf) into home/Library/Fonts
2b) Easy option: double-click the font file, then click "Install font" button of FontBook.
3) Quit and restart any programs you had open (no need to restart your machine)

Unix etc.
I have no experience with other operating systems, so you're on your own here - but if you have installed and use another operating system you're probably technically savvy enough to know how to install fonts ;)