If you are running Mac OS X, place the accompanying .ttf file in either /Library/Fonts/ or ~/Library/Fonts/, where ~ is your home folder.

If you are running Mac OS 9 or below, place the accompanying .ttf file in /System Folder/Fonts/.

If you are running Windows, place the accompanying .ttf file in something not entirely unlike C:\Windows\Fonts\.

If you are running another operating system you probably know where to install fonts already.