Steve, you use a typeface designer to create your fonts such as macromedia fontographer (quite expensive but there are also many cheaper ones).
While vector packages (such as corel or maybe even xara) can save vetors in TTF this is usually pain in the neck. With typeface designer you have the ability to modify existing font (that's what 90% of font designers do todoay) or scan and vectorize real drawing (like handwriting)
These fonts are fully compaible with windows.