Fonts are pictorial representations of the ASCII values of each charact...what? Oh, less technical? No problem.
Editing a Font
If you go in to the Edit Font Menu, you'll see three options. Here you can customize your font, or import fonts that you have downloaded. Choose the first one, "Edit Font...". You'll now be brought to an odd looking screen with a whole bunch of characters on the left, and a big blank space on the right. The characters on the left are all the characters in the literal ASCII character set (32-255), and the space on the right is where you edit these characters.
To edit a character, first you must pick it in the list. Use the arrow keys to navigate, and Enter or Space to select it. As you select different characters, zoomed in versions of them show up in the right area. And, once you hit Enter or Space, your cursor will move over to the right.
Now you're in character editing mode. The arrows will move that green box around, and hitting Space will toggle a pixel between the extensive range of colours, which includes: white and not-white. Hitting Escape or Enter will save the character, and move the cursor back to the left again.
Why are there only two colours?
Fonts are actually 1-bit bitmaps. I.e. they use 1 bit for each pixel. This means that they can store 8 pixels in one byte, and thus the whole character in 8 bytes, (count the number of pixels in a row in a character, and you'll see that it's an 8x8 box).
So, when the font is being displayed, Game or Custom pick a colour to display it in, and then draw with it. If the pixel (bit) is set (1), it's drawn. If it's clear (0), it's not drawn.
Importing and Exporting Fonts
When you've customized your entire font, you may find you want to use it in another game. Or, alternatively, you want to let others use it. In this case, you can export the font to an OHF file (OHF stands for OHR Font). To export a font, choose "Export Font..." from the Edit Font menu.
Then, to use it in another game, or to use someone else's font, you can import the font from the OHF File. You do this by choosing "Import Font..." from the same menu. Custom comes with a number of default fonts you can pick from by importing one of the OHF files in the import folder.
Beware: An OHF file contains all characters, including blank ones. Especially blank ones. So, if you've customized your font, you would do well to export it before importing another font if you wish to keep it.