When you download a font file, its contents are compressed into a single file. To extract them:
In most cases, Netscape or Explorer will automatically un-Stuff your font file as it is downloaded. The final un-Stuffed folder will have the same name as the font (e.g., 'BorderbatsFilligree', 'QuarkNeon', &c). If it doesn't:
Use your Find File utility to see if you have StuffIt Expander, Stuffit Deluxe, Stuffit Lite, or DropStuff with Expander installed on your system.