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First, you need to download the desired font. Be careful with licenses as some fonts can be used only for personal projects (link removed by moderator). Very often fonts are stored in ZIP files. You have to unzip them to your PC or directly to the general folder with fonts.
All fonts must be copied to the Windows font folder. After this, you can run Windows Word and the desired fonts must appear in the list of fonts together with custom ones.

How to Install Fonts on Your PC
Find a reputable font site.
Download the font file that you want to install.
Extract the font files (if necessary)
Open the Control Panel.
Click the "View by" menu in the upper-right corner and select one of the "Icons" options.
Open the "Fonts" window
Drag the font files into the Fonts window to install them
Enter the administrator password (if prompted)
Use your new fonts