On Mac OS X, please follow the instructions found here:

http://support.apple.com/kb/HT2435

Please note that we recommend installing the fonts in the top-level library where they can be accessed by all of a workstation’s users, rather than an individual user’s Fonts folder, as our license applies to the workstation rather than the user. We also recommend installing the fonts directly in the Fonts folder as detailed in this support article, rather than using FontBook.

On Windows NT, 2000, and XP, please follow the instructions found here: 
http://support.microsoft.com/kb/314960

On Windows Vista and 7, please follow the instructions found here: 
http://www.microsoft.com/typography/TrueTypeInstall.mspx

If you use a third party font manager, please follow the instructions that came with it.