Yeah you're right, manually installing the fonts inside the skin directory didn't work.
btw, it's not Chinese version of WLM - my WLM is English. But the Windows is Chinese. As for the font, this will be good, I presume:
http://www.microsoft.com/typography/fonts/family.aspx?FID=368
(Downside is that XP by default doesn't have this, unless Office 2007+ is installed. But then again, Windows XP's Chinese versions don't have any sans-serif Chinese fonts at all.)
- Also you won't want to bundle the Chinese font in your plsk - Chinese font file size are prohibitively large, usually as high as several MBs.