Please check these nice articles:

The Easiest Way to Use Any Font You Wish

Font Replacement Using Cufón

http://info.template-help.com/files/Html/how_to_use_cufon.htm

http://www.websitemagazine.com/content/blogs/posts/archive/2009/04/27/web-design-use-cufon-for-text-replacement.aspx