Fonts for the Mac usually come in .otf and .ttf files, which are OpenType and TrueType files, respectively. After you download a new font, make sure you have at least one of these two files.
Next, you should decide who will get to use the new font, particularly if you have more than one user on the computer. The answer to that question will determine whether you should copy the .otf/.ttf files to one or the other of the two folder locations below. Wether you have system administrator access also plays a role.
If you only want one particular user to have access to the new font, or if you only have access to install fonts for yourself, place the font files in the first folder. If you have administrator access and would like to install his font for everyone who uses the computer, put the files in the second folder.