You can also download the fonts direct, without all that Micro$oft crap: http://www.fontyukle.com/en/1,segoe
The downloaded files have all the same name: Segoe
without any extension.
Download them, then rename them to resp.:
Segoe = Segoe-UI.ttf
Segoe(2) = Segoe-UI-bold.ttf
Segoe(3) = Segoe-UI-bold-italic.ttf
Segoe(4) = Segoe-UI-italic.ttf
Install them via Control Panel/Fonts
Then follow the rest of the instructions, ignoring the LiveMail junk (repeated here):
If you don't have ClearType turned on, download Microsoft's ClearType Tuner PowerToy, tune your LCD for the best font smoothing, and put on a happy face.Turn Segoe UI into your main system font
With Segoe UI installed and ready to roll, making it your main system font is easy:
Step 1. On your Windows XP computer, right-click any empty place on the desktop and choose Properties. Click the Appearance tab, and then click the Advanced button.
Step 2. In the Item drop-down list, choose Active Title Bar. I recommend that you change the font to Segoe UI, make its size 10 point, and turn off the "B" (for bold) button.
Step 3. In the Item drop-down list, choose Menu. Personally, I like to set the font to Segoe UI 9 point, without bold or italic. You might prefer it at 8 point, though.
Step 4. Click OK twice.
When you get back out to Windows, try playing with your apps a bit. You may be surprised to find that many programs - including Office 2003 - automatically pick up your font settings for window titles and menus.
Windows XP never looked so good, eh?