I am not even given a chance to unzip it

I want to add new fonts to my photoshop (i did it before a year or so ago) and cant remember how. Whenever I go to download one from here I click Download>save as>desktop. and then when I go to add it to my fonts it says it wont work cuz its the wrong file. (zip)
What am i doing wrong?
(I use firefox but also tried it in internet explorer)