Okay first of all, like Richard said, you need to put your downloaded ornamental fonts on your computer along with all your other fonts (that part has nothing to do with Photoshop). I'm on a Mac so I'm not familiar with Vista, but I found this web page....
http://www.lytebyte.com/2007/07/03/how-to-install-new-fonts-in-windows-vist...
After the fonts are installed:
Okay, let's start by just accessing one of your ornamental dings from within Photoshop and putting it on a new transparent layer. In Photoshop, open a new transparent document. Click on the "Type Tool" and in the options bar, where you choose your font, locate and choose one of your ornamental dings. Type any letter and you should see an ornamental ding in your document. You can resize as desired using the "Character" palette as Jayse did in his tutorial. From there on you should be able to follow the video tutorial and start taking the decorative font apart.
If you want to create and save a document full of dings like Jayse had, start by creating a new transparent document; you'll add your dings to that document. If the document turns out to be too small, it's easy to increase the canvas size later. Next, simply use the Type Tool to add your dings to that document. It might be good to separate each ding with a space or two. You could also add a colorful background on a separate bottom layer if desired. If you prefer, you could create multiple layers with one or several dings on each layer (that's what it looked like Jayse had done).
Once you've created your ding storage document, you can copy any of the dings from it to a new document for future projects. To do that, click on the Type tool, then select one of your dings and copy it to the clipboard. Now paste it into a new document. Since you selected the ornamental ding in the type layer, with the Type Tool active, it will still be a vector and can be resized without losing any quality.
It's past my bedtime now :-) I'll check tomorrow to see if you have any questions or Richard will probably be around to help as well.
Good Luck! Sounds like what you're trying to learn will be fun!