A plugin download will typically be a compressed file, like a ZIP file. You will need to decompress it.
The resulting folder will look something like this.
Code:
plugin folder
plugin-name.exe
plugin.txt
(other files)
Find the location where UTAU is installed. It might be in Program Files, or somewhere else if you moved it. The folder should look something like this.
Code:
UTAU
plugins (folder)
settings (folder)
voice (folder)
(other folders)
utau.exe
(other files)
Place the entire folder of the new plugin inside the "plugins" folder.
To use the plugin in UTAU, first select the notes you want to edit. Then go to Tools > Plug-Ins > Select the plugin you want to use.
If you can't see the name of the new plugin, try clicking on the "Reload" option. You can also click "Open Plug-Ins Folder" to make sure that you put the plugin in the correct folder.