An alphabet set is not like a font. You will not be able to load and type with these sets like a font download. What you can do is open them in Photoshop and drag them onto a background to create a fun title. They are more like digital die cuts, less like a font.
Once you download your alphabet, you'll need to unzip it to a folder on your computer. Photoshop and PSE cannot open a zipped file, so that's an important first step. Your computer probably came with unzipping software, but if not, there are several free options at TheFreeSite.com: zipping and unzipping and compressing freeware
How use the alphabets in Photoshop:
1. Open Photoshop
2. Create a new document by selecting File | New and creating a new document at whatever size you like. Be sure to select 300 ppi.
3. Select File | Open and browse your computer for the unzipped alphabets folder. Click on the alphabet letter you want to use, then click Open.
4. This should open the alphabet letter in Photoshop.
5. Now hold your cursor over the letter in Photoshop. Click and drag the alphabet letter over to your new document. When you release the alpha will be on your new page. Continue opening and dragging letters to create your title.