You have to add the fonts to your computer so here's how you do it:

1.  Download the font in .ttf format.

2.  Go into your control panel and click on Fonts.

3.  Drag and Drop the .ttf file into the fonts and it will be added to your system (will become available in all other programs also)

4.  You might have to restart X5 for the changes to take place.

Now you should have the font available in X5 in your header, text and anywhere else you need.  At least that's how I did it!

Thanks for answering. But I found another way to add the font to the excisting fonts in Windows and now it works.