Font File Help.

I have problem with my fonts. When I downloaded them they wouldn't show up on my list of fonts on PSP. So I followed the advice in one of the memories and opened the font file after unzipping it before opening the program. And it worked. The problem now is I closed PSP and the font file assuming that the font would now have been saved on my list but when I opened it again, it was gone. There has to be another way than having to open the font file and restarting PSP every time. Please help me out!!!

If you think you might know how to help but you're not too sure what I'm asking, please comment. I'll try to re-explain it.