after i download a font, i click on it to install it but then an "application not found" error message comes up. how do i fix this?

thanks

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

What you download is a zip file.
To use a font, first, you have to unzip it with a unzipper software like Winzip, 7Zip, Power Archiver or other.
Look at the link Daaams gave to you.