Windows 95/98(possibly 3.*, but i've never used it so i don't know, Same goes for 2000, but i assume it would be the same as 95/98):
Right click on the link and choose "Save link as...", and save it to My Computer/C:(Or the drive you have windows on)/Windows/Fonts directory, That's it.
Mac OS: Probably impossible, From what i can tell Macs use some sorta Postscript font type thing, this is a TrueType font, And i have not found a Postscript version of it, so you mac users will just have to deal with one of the uglier fonts instead.
Linux(any and all distributions): I don't know, but if you use it you probably know enough about it to install a font(if it can use truetype fonts), If not you will have to suffer with a cosmetically impaired font as well.