Hey there! I downloade a retro font from this site and doesn't let me do any changes.

You could take a look into the Graphic styles panel. Sometimes only the art on the artboard is outlined, but there is still a graphic style you can use.

Here is a link about clipart containing styles: The Vector Clipart Missing Manual: Styles 

Doug is right,

You can have a look at how to copy and apply graphic styles in Illustrator

https://helpx.adobe.com/uk/illustrator/using/graphic-styles.html

That means you could copy the effects (different colours, transformation, offsets etc) from the file you downloaded, onto a new text file you created. You will then be able to tweak those different elements to make it your own. (best way to learn is to reverse-engineer, I found).
Have a good look at the appeareance panel, and play with all the effects. You'll soon be able to make your own!

It depends what you mean by 'editable'. These are all editable paths:

But this is effectively an illustration of an alphabet, not a usable font file.

If you want to do something similar with live text, you could try this:

Each stroke has a transform effect with a small move value and an increasing number of copies. With a rounded font like this, it should have a comparable quality to the original (which appears to also have been created with blends or copies).

Have you actually checked the structure in the layers palette?

Mylenium