There's 2 options here, both with advantages and disadvantages:
Option 1: Install them by double clicking the icon, this adds them to Windows fonts.
Advantages: Doesn't slow down Photoshop.
Disadvantages: Uses more system resources ALL the time and after installing 100+ fonts you will see a dramatic decrease in windows speed.
Option 2: Install them only for Photoshop by copying the fonts to the following folder: C:\Program Files\Common Files\Adobe\Fonts.
Advantages: Doesn't slow windows down at all.
Disadvantages: Slows Photoshop load times down and the fonts aren't available to other applications.
Bottom line: If there are only a few fonts that you want to install, add them to windows fonts via option 1. If you have loads of fonts add them to PS via option 2.