You have to change the font-tag: This is written in YourNewFont
However... that will only function on PCs that have "yournewfont" installed. Don't count on it that people will install a font just to view your site, on the contrary you should adjust your site so that as many people as possible can have the experience you had in mind. For that reason it is best to use "safe" fonts: Verdana, Arial, Times, Times New Roman, Courier, Serif, Sans Serif, those things. If you use a fontname that I don't have installed, my browser will show its default font (usually Arial or Times), so the site may look a lot different from what you had in mind...
If you want to use that font as a title or so, you can always make a Gif file with the text in the font you like, but as an image. A bit like the Members helping Members logo in the upper left: that's not text, that's an image.
is there any way it can automaticly download when they load the site? Also do i have to delet the other font tag? Also where do i type in my tag at so all the fonts in the site will change?
This page from my site has info about which fonts can be safely used on web pages. It also has links to the sites where you can purchase the programs to allow you to embed fonts. Of course embedding fonts only works for some browsers and the way it works is different for each browser.
No. Then you have to trust that people have the font you had in mind installed on their PC. Most people will have Verdana, Arial, Courier or Times. If you want to use a different font, you can try putting a link to a downloadable font, but don't count on people using and installing it. After all, why should I adjust my PC (even by installing a font) to be able to view your site? You're the one offering a service, you have to adjust to your audience, not the other way round.