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So I received these .PFB and .AFM format file when I purchase a font family.
Then what should I do with these unfamiliar format file?
Those are Type 1 fonts for Windows. You need the .PFB, plus either the .PFM, or .AFM + .INF to on Windows. If you just have the .PFB and .AFM, then you probably have these fonts configured for Linux/Unix.
Assuming you have Windows 2000, XP or Vista, and the right bits, you can look up instructions all over - e.g. http://desktoppub.about.com/cs/fixfonts/ht/psfonts_winxp.htm