I used to have the same problem as you! The thing is, these font sites have lots of fonts, and they want to minimize the amount of space that the fonts take up. So, they use .zip files to compress the font files and reduce space.
To extract the font files from the .zip files, right click the zip file and click "Extract All...". I'm assuming you're using Windows XP here.
Follow what it says. Click "Next" when it first comes up, then select where you want to extract the files to. By default, it will save the font file in a folder on the desktop.
Click "Next" to confirm. It should extract the file very quickly.
Then, click "Finish" to see your extracted files.
When the folder comes up, you should see your font file in it. Your font file is the file with an icon showing either double T's, an O or an A. Copy that file.
Then go to C:\Windows\Fonts and paste your font file there.
If it is copied successfully, you should be able to use it on any program that uses fonts (like MS Word or Paint).
Hope this helps you! If this didn't work, email me with more details and I'd be glad to help!