Skip the wizard--just download the font files and run your system's font installer. Re-start OOo and you'll be all set.
In the example you gave, the there are two font files (regular and bold weights) packed in a zip archive. I'm not a Windows wizard, but I think this is close to the correct procedure for installing fonts:
1) Download the file (budhand.zip)
2) Double-click on the downloaded file.
You should get a window with three files: two fonts (BUDHAND2.TTF and Budhrg__.ttf) and one text file (BUDBOLD.TXT).
3) Open the system control panel
4) Open the Fonts control panel item and drag the two "TTF" files into the font window.
That should install the fonts for your system, and OOo should find them the next time you start it. You have to completely exit OOo, including the OOo "quickstarter" in the system tray as well (or just log out and log in again).
The fonts work fine for me (on Linux) so there is nothing wrong with the file.
AOO 3.4 • Linux • Fedora 17