How do I download a font into photoshop?

Close Photoshop, if it is still open.

If you still haven't downloaded the font, download the font to your computer first and remember where the download was was saved.

Install the font in your computer. There's an instruction somewhere in the Dafont's FAQ.

Then open Photoshop

Choose the font from the font menu.

You can now use the font.

FAQ : http://www.dafont.com/faq.php#win