Windows? Right click the file, and hit install. It should copy/paste into your fonts folder. Alternatively you can go to control panel in classic view and copy/paste the font yourself into the fonts directory.

Speaking of NES, my toploader Nesie (or if you want to be lame and not name your consoles, the NES 2) is probably going to retire. It only uses RF cables, and all three of the ones I have (1 original, 1 bought to replace, and 1 with the second NES I bought after breaking the first trying to take it apart) give me excessive interference. TV, I don't mind static - but with Nesie it's horribly excessive and only highlighted by our nice big TV. I hate those wavy lines SO much!