These are all Windows TrueType fonts. Install them like regular fonts, but most don't have a complete character set, that is, they lack punctuation and extended characters. Use Font Compare to check them out. There is nothing in this group that is suitable for body text, but they are great for titles, especially the simpler ones. See DropCap HowTo
Simple Drop Caps : These often have lower case letters also and can be used in smaller sizes than the elaborate ones. Of course, in the case of dropcaps, simple is relative.
Elaborate Drop Caps : Usually just caps and must be used in large sizes or they will look like a blob. The ones that are basically square fit better in the space provided by the word processor than the ones with bits going off in various directions.
The Gothic fonts are over here. There were enough to rate a page of their own.