Click on the link in the lesson that will take you to the font site. (Note: When downloading fonts from free sites, be wary of which buttons you click. Sites often have misleading buttons in prominent locations that will take you to a new site or download unwanted items when you click on them. Be sure to click on the correct Download button for the font. If in doubt, ask in the forum.)
Navigate to your Downloads folder in Explorer. If necessary, unzip the file.
To unzip, double-click on the file and then choose Extract All from the menu bar.
To install a font, right-click on the unzipped font file (usually a .ttf or .otf file), and choose Install from the popout menu.
Note: You may have to exit out of Photoshop and re-enter if the font doesn't show up right away.