The fonts are included in the head section of the html page along with the CSS style for the span tags. On the Edge Web fonts page they give you the include statement.
Also, if you use the same font everywhere in the course they can all be changed at once by applying a CSS style to the span tags, which surround all of the text.
If they are not all the same font, you could try to do a find a replace for the inline styles and change them accordingly. Note that Captivate uses Arial for messages and alerts so I would not use Arial as an initial font to replace as it will show up too many places.
There are no specific places, but they are in the CPM.js file and you need to find and replace if you have different fonts.