Well, my favorites folder got wiped out, so I'll have to update this part as I think of 'em.
Typically, you download them as .ZIP files. After extracting the fonts from the .ZIP files, go to c:\windows\fonts and select "install new font" from the file pulldown menu. Browse to your temporary file that you unzipped the fonts to and add them.
In most cases, photoshop will recognize the new fonts the next time you start photoshop up. If that doesn't happen, close photoshop. Then go to C:\Program Files\Common Files\Adobe\Fonts and delete the file called "AdobeFnt.lst". This will force Photoshop to build a new one from the windows/fonts folder.
The variety of fonts is obviously what changes the basic text style. For coloring options, halos, shadows, bevels, etc, you simply use the blending options on the text layer after the text has been placed in your photoshop work.
In case you're not aware of how to access blending options, it's as simple as right clicking on the text layer in the layer toolbar and selecting "blending options". Once in there, try the different options out until you find what you like.