Hi,
Did they come as a .zip file? If so you need to unzip them with a program like WinZip.
Usually people unzip them into their windows system fonts folder, but you will find if you start to download a lot of fonts. The drop down menu in your programs for fonts gets to be overwhelming!!
But then you should be able to see your new fonts in every program you have.
Another way to do it is to create your own fonts folder, (I have one in My Documents/My Fonts) then I unzip all my downloaded fonts into there along with all the read me files so if you ever want to use the fonts for anything besides personal use you know how to find the creator of the font.
Then you need another free program called "The Font Thing" where you can start that program and have control over your downloaded fonts by being able to install and uninstall fonts easily when you are done using them, or just decided your list is too long!
There are other programs for both unzipping and controlling fonts to choose from, just search around in the forums here as there are a lot of posts reguarding the use of fonts.
hth's
Tracey