You should use fonts that are "web-safe" ie. are pre-installed on your audiences machine.
If you don't wish to observe this courtesy to your audience, you could also 'embed' the font so it downloads with the webpage.
There are two problems in doing this;
1) Font files are large and will lengthen the time it takes to download and install on your viewer's machine.
2) You're forcing your viewer to install something on his machine without giving him the option. With fonts it could be argued that this is for your benefit, not the visitors.

I would strongly advise against this practice.