For Windows Xp, Vista, 7: Save the .zip file to for example your desktop. Open up the explorer and select the file so you can see it’s contents in the right pane. Select the .otf file and drag and drop it out of the zip file to the desktop (or any folder you have created). Then go to that folder in the explorer and right-click the .otf file and choose install font from the menu. That’s it – font installed!
You can also drag and drop it directly on the folder C:\Windows\Fonts\ but it can be good to have it backed up in case you will have to delete it.
For older Windows versions you will have to download a .zip file handler. Like Hamster(free) or WinZip(limited trial) to get the font files out of the zip-file. Then drag and drop it on the C:\windows\fonts\ folder. A restart may be needed.
For Mac OSX: Just download the file and double click on it. Open it up in typbook and choose install font.