VST and VSTi files are implemented as DLL's. How you install them depends on the VST(i). Some are just the VST; others include additional files (such as sounds samples in the case of VSTi's). If you received an EXE, then just run the EXE to install the VST; normally, you will be able to specify where it goes, but some install into a default VST folder (which could be
any number of places depending on your computer. If you received a ZIP file, you will have to unzip it to the location of your choice. If you received just the .DLL file, then copy it to where you want it.
I keep all my VST's organized under special folder, separated by 32-bit and 64-bit VST's. This allows me to easily select which VST to load.
Here is a post I previously made about my VST's. But you can put them anywhere you want.
Then, in BIAB or RB, you go out and select the .DLL file (for example, Kontakt.dll) from where you installed/copied it from within the VST/VSTi interface (using the "Add VSTi Plugin" selection (see below).
That's probably a lot more information than you wanted, but hopefully it helps.