First, make sure to actually install them on your system (run the exe file)
I always suggest scanning them first <grin>
Free isn't always clean!

Pay attention to all screens along the way to install; don't install any added bloatware you don't need/want, and watch for where it is going to install it. Just blindly clicking OK without paying attention can cause grief.

Then, how to load them depends on the software.
In PGMusic products it is usually found in the DX FX window under 'add VST'

You'll need to be able to navigate to where the required 'dll' file is to be found in the file system, so again, pay attention to the install screens.
They usually tell you where things are going to install to.
Finding them later can be a pain, and noting it during the install process can save headaches/grief.

I do not work here, but the benefits are still awesome
Make your sound your own!