They have to be TrueType or TrueType-flavoured OpenType fonts for the device to recognise them. Adobe Type 1 files don't work. You just copy the .ttf file into the "Fonts" folder, and then if you go into the Settings option on the menu, you can choose these fonts.
But as greenapple says, there's no point, since the current firmware doesn't recognise font changes in documents anyway.
Oh, and the device doesn't read the internal name of the font. If you have a font called "Daily Press", say, but the actual file is called TT446187.ttf, then it'll show up on the menu in Settings as TT446187.ttf. If you're copying in more than one font, then you need to be sure which file you want to select. (You don't want to select TT446188.ttf, for instance, and have everything showing up in Italic!)
But that's assuming iRiver is intending to, or is able to, fix the firmware. So far, they've been completely unresponsive to any enquiries about it.