It sounds like you're not very familiar with how Windows works, so here's a simpler alternative.
Right click this link:
Russell_Square_LT, choose "save as," and make sure to save it in C:\Windows\Fonts.
Note: you saw "The quick brown..." because you
opened the font. Don't do that. You need to be looking at its containing folder from Windows Explorer (the thing that opens when you hit WindowsButton+E, which is also the thing you get when you open "My Computer").
To accomplish that, you would go to that font web site, click the font and choose to save/download, not run/open. Then you would go to the folder it was downloaded to (probably "Downloads") and have to move it from there to C:\Windows\Fonts.
If you don't understand how to move a file, read
working with files and folders (Vista) if you're on Windows Vista, or
working with files and folders (Windows 7) if you're on Windows 7. The
documentation for XP file management was sort of hard to find and is less user friendly (no pictures; indexed tree structure broken down by specific task, with no overview).