Firstly, you might find this neat little program useful:
http://download.cnet.com/Free-Easy-Font-Viewer /3000-2316_4-10070090.html
It allows you to quickly see what every font on your PC actually looks like.
To change your desktop fonts, right-click on the desktop. Select Properties and then Appearance. Use the drop down menu to find those items which use text. (e.g. 'Active title bar' or 'Icon'). For each of them select your preferred font and size. (You can have different fonts & sizes for different items). Then click 'Apply' and 'OK'.
Chris