That is my problem I don't know how to use some font from site/forum...Could you explain me please?
Yes there is no problem. In fact it's very easy.
Assuming you want to download this font:
http://www.dafont.com/que-fontita.font
When you click the download button you will get an archive containing a .otf file.
Take the .otf file and put it in
c:\windows\fonts
If your photoshop is opened when you install the font it may not read it from the first so you may have to restart photoshop or refresh the fonts folder.