In addition to what Steve says, a lot of the fonts people try to use cannot
simply be downloaded and installed as it's illegal to distribute third-party
fonts outside of the application that supplied them. You can embed them into
things like Illustrator drawings or PDFs, but providing them for download so
someone can see your web site better is a no-no.
MS does have a tool that can embed fonts in a web page called WEFT
(
www.microsoft.com/typography) but it's mainly a waste of time since it only
works in IE, is quirky, and most people hate non-standard fonts anyways.