The following describes how to install the fonts in MikTeX. These instructions will work with other modern TeX systems as well.
Note: If you are using MiKTeX 2.6 the localtexmf directory can be configured --- see http://docs.miktex.org/manual/localadditions.html. For example, if you configure your local directory to be
C:\Documents and Settings\All Users\Application Data\MikTeX\2.6\
then in the instructions below substitute this for localtexmf.
Unzip the texmf directory from lucimatx.zip.tpm into your localtexmf directory. Note that there are are over 400 files in the distribution and all of them must be copied to the localtexmf directory and not to the texmf directory.
There are some files in the templates directory which may be placed wherever you want. These files provide some LaTeX templates and samples, but are not essential for using the Lucida fonts.
Edit localtexmf\web2c\updmap.cfg and add this line:
Map lucida.map #localtexmf\dvips\lucida\lucida.map
Run updmap (or mkfntmap or initexmf --mkmaps) and refresh the file name database.
This should work on most modern TeX systems. If you don't have updmap, you may try to manually add "map +lucida.map" to pdftex.cfg and add "p +lucida.map" to config.ps.
(Courtesy of Helmer Aslaksen (http://www.math.nus.edu.sg/aslaksen/))