He meant you could store the font inside a gamestudio folder and then copy it to the windows font directory, e.g. C:\Windows\Fonts\. However, you than have to be carefull with the folder. Under XP it is C:\Windows\Fonts\, under Win2k it's C:\Winnt\Fonts\ and under any prior version the path can be abitray as you can select any path when installing the o.s.
But even when the file is copied, it is not necessarily installed. For example when running Word and then copying the font to the font folder Word won't recognize until you restart the game. The same with GameStudio. Before you're able to copy the file the engine needs to be started and at that point the font already won't be found as you don't have the opportunity to copy the file before the font initialization.
I guess the best way to go for you is really an installer application.