When you unpack the .zip file, you should end up with a new folder named 'kindle-2.5-fonts-3.1.N'.
Inside this folder are the bunch of .bin files, and a folder named 'src'.
And now, inside this 'src' folder is our 'linkfonts' folder, and it's this last one you'll have to copy to the root of your Kindle. There's no folder to manually create anywhere
Check my two crappy snapshots.