Installing plug-ins involves three basic steps: download, extract, and then save the files in the Audacity Plug-Ins folder.
Go to the Audacity Plug-ins web page. You can find this web site here: http://audacity.sourceforge.net/download/plugins.
Choose one of the plug-in types, and click on the link appropriate for your operating system, and download the file.
Once the file is downloaded, extract it (uncompress) by double-clicking on it.
Place the extracted file inside the Plug-Ins folder (within the Audacity installation directory).
Once you save the file, you're all set.
Restart Audacity. To see all of the new plug-in options, from the main menu, go to the Effect, Generate or Analyze menus. All of the installed plug-ins will be seen below a divider in those menus.