After they're extracted, they need to be installed properly as well; just saving them to the fonts folder doesn't do it. This is how I do it:
1. Download the zip files containing the fonts to the desktop.
2. Create a folder called "fonts" on the desktop.
3. Double-click on the zip files I downloaded and move the font files from the zip folder to the "fonts" folder.
4. Click on Start --> Control Panel --> Fonts. In Windows Vista, this will open an Explorer window. (If you have XP instead of Vista, let me know and I will make instructions for XP.)
5. Right-click on Fonts in the side panel and select "Install New Font..."
6. In the dialog box that pops up, navigate to the Desktop using Folders box (the file path is usually c:/Users/[your username]/Desktop/fonts).
7. Select the font(s) you want to install (Select All works well for me) and click Install.
You can put the downloaded zip file and the fonts folder in the Trash when you're done; the Font Install utility copies the files over to the Fonts folder. This is why I download everything I want in a session, move the files over to one folder to select from, and *then* install them, because there are a bunch of steps.