font DLing

Ok, usually when I try to DL a font, a little box pops up and asks if I'd like to open it, etc.. and I then move it to my fonts folder from there. But when I try it for "cooper black", at the place linked below, it just downloads, and nothing pops up, and I don't know where it goes or how to find it.
Here it is:
http://www.webpagepublicity.com/free-fonts-c4.html
thank you!