The two most likely locations for an OS X font are /Library/Fonts or ~/Library/Fonts. I'm at work on a WinNT box right now, so I can't check on this, but I believe that Sherlock is not able to index your user directory. So ~/Library/Fonts is the first place I would look.
If you still have no luck, try downloading it and adding it directly to your OS 9 system folder.