First, do a sanity check. If you've downloaded a file, and it was a .zip file, make sure you've unzipped it.
Next, make sure that all of the .dll files that you downloaded (or unzipped) get copied to the effects folder where paint.net is installed (this is usually C:\Program Files\Paint.NET\effects).
Last, have a look at the properties of the .dll files in that effects folder. Right-click on each one you placed there, select "properties" from the menu that pops up, and
make sure that if you see a button marked "Unblock":
Click it. If you don't, you'll never see the effect in Paint.NET
Last, make sure that you close Paint.NET and restart it. Any plugins or effects that you download while it's running won't show up until the next time it starts.
If you do all of that, and *still* don't see your effect or plugin, make sure you're looking in the right menu (some plugins show up in the adjustments menu, and some only appear as options when you're saving a file).
And if *that* doesn't help, write a message here and perhaps some kind soul can point you in the right direction.
drakaan
