Is there an application that will allow me to change the font I use in an on-line application like a chat room or chat box?

Not really. Microsoft's font embedding never was a success. There have been javascript based attempts but with todays browser security features it is close to impossible to (even temporarly) install someting - like a font - on a clients system (unless you yeally want to hack the system but then most if not all anti virus programs will stop you again).

The only thing you can do is to tell the people that they have to download a - or more - font and keep it open and reload the page. Bothersome procedure.