As far as I know you should install it as a system font. Such that it becomes available in system settings for UI fonts, web-browser and all apps. On Mac OS X and Linux (Gnome at least) it is simple as double clicking the downloaded font.
After that you can use fontspec & Xe(La)TeX to select that font by name (note that font name can be different from the file name).
If you don't want to install the font as a system font, you can drop the font into the same folder as your tex document and xelatex should be able to find it.
To use OpenType and TrueType fonts with tex, latex (for dvi, dvi-ps, dvi-ps-pdf workflow) special font metrics will need to be generated and font map installed. Unfortunately I'm on a quest to find out how to properly do it.
Note that using "cool fonts from the web" might not be of high quality as highly engineered fonts. The Latin Modern has something like more than 50 complete fonts to cover different weights, italics, maths and special ligatures. None of the other fonts come close for exploiting latex typography power. Commercial fonts from Adobe, Apple, Microsoft are usually of high typographical quality and are more complete.