These days there are lots of options. As long as the font creator allows it (and lots do nowadays) you can send the font along with the site using some very simple CSS. A great place to find free fonts that are ready to use on the web (and fonts must be specially prepared for the web) is FontSquirrel.
If FontSquirrl doesn't have what you need, there are lots of other services that allow you to use commercial fonts on your site, such as FontDeck and TypeKit.
There are also free fonts at Google, though I find them a bit flaky. If you like I have a long list of other free and commercial web font repositories like this.
Are you looking to use it as a font on your website?
if so you can use this CSS code
font-family:"whatever name you choose to reference the font e.g test_1";
upload the font ttf or otf file to the root of your server and referece it with the name you gave it in any location you aim to put it, This works in Mozilla, Opera, and most other bwosers but not in IE
As indicated you can use the wonderful @font-face to use specific fonts. However, when this option was introduced, IE expected .eot, FF .woff, etc etc so you need to be aware there can be browser compatibility issues and you should still use a font-stack.
You must read the license the font is released under to find out how you can use the font.
I prefer not to request fonts from remote urls, but to download them to my server. While this implies maintenance issues - when the font is updated on the remote site you might want to update the copy on your site too - it means the font isn't updated before you've tested the update.