The follwoing works for me, and I use Windows XP.

Click download.
When the next window pops up, click "Open."
After you have clicked "open," a window will pop up- click "extract all files".
You will see the "extraction wizard" window, click "next."
Now you will see a window that says "Select a folder to extract file..."

At this point erase whatever is there, and type in the follwoing:


The above will load your font into the Windows folder. Now you can open up Word and locate your font.