If your system does not have the font, you will have to purchase a license for it or the software required. For instance, a few games use Calibri and Segou. Those are only available if you have purchased Windows Vista or Microsoft Office 2007. The easiest thing to do, though, is just change the font the game uses. Open up the .spritefont files in the project and find the FontName node. Just change that to something like Arial (which every machine has) and it should work just fine.
Nick Gravelyn -- Microsoft XNA MVP -- http://nick.gravelyn.com/zune-games/