For VST plug-ins on Windows platform:

You should unpack ZIP file you have downloaded into the
"VstPlugins" folder, the one which is connected with the audio
application you are using and where this application expects
VST plug-ins to reside (it is also suggested to create the
"Voxengo" or "Voxengo64" for 64-bit plug-ins sub-folder there,
and unpack the archive there instead of the main "VstPlugins"
folder).

For VST/AudioUnit plug-ins on Mac OS X platform:

You should mount the DMG disk image (which you already did
since you are reading this file) and drag & drop the
"component" (or "vst") package from it into the corresponding
plug-in folder located in the "/Library/Audio/Plug-Ins/"
folder on the harddisk. Note that a direct link to this
folder is present in the DMG archive.

After this has been done you will need to order your audio
application to rescan plug-ins, or if that option is unavailable
you will need to re-start this application. Note that plug-ins
cannot work without an audio application that hosts/loads them.
