Most VST plugin instruments are packaged as DLL ("dynamic-link library") files, which can't be used by themselves-- i.e., you can't just double-click on them and run them; they need to be called by other programs.
DLLs are used for many other things besides virtual musical instruments, so when it comes to "installing" them-- which may be as simple as just saving or moving the DLL and any other associated files (e.g., a readme.txt file and/or a folder containing "preset patches") to some location on your computer-- it's a good idea to keep all of your VST stuff segregated from other DLL files. If you plan on ever using a DAW or other VST host, it will be easier to "import" the plugins into your DAW if you've saved ("installed") your VST plugins in a folder named "VST Plugins," or something like that, with subfolders for different types of plugins (i.e., instruments versus effects), and subfolders within those for each of the plugins-- but the exact organization is up to you, so don't feel like you need to do it as I've described.
Also, VST plugins can be 32-bit or 64-bit. Generally speaking, a 32-bit plugin must be used with a 32-bit DAW, and a 64-bit plugin must be used with a 64-bit DAW-- unless the DAW has a "bridge" that lets it run plugins of the other type, or if not then you can also get such a bridge free on the internet. Of course, you can't even use 64-bit stuff unless your computer is 64-bit, so that's something else to keep in mind. However, the point is that you'll probably want to also segregate your VST plugins by whether they're 32-bit or 64-bit. On a 64-bit Windows computer the 64-bit programs are usually installed in the "Program Files" folder, whereas the 32-bit programs are usually installed in the "Program Files (x86)" folder, so one suggested organizational hierarchy might be something like the following:
C:\Program Files\VST Plugins (64-bit)\Instruments\Instrument 1\
C:\Program Files\VST Plugins (64-bit)\Instruments\Instrument 2\
C:\Program Files\VST Plugins (64-bit)\Instruments\Instrument 3\
etc.
C:\Program Files\VST Plugins (64-bit)\Effects\Effect 1\
C:\Program Files\VST Plugins (64-bit)\Effects\Effect 2\
C:\Program Files\VST Plugins (64-bit)\Effects\Effect 3\
etc.
C:\Program Files (x86)\VST Plugins (32-bit)\Instruments\Instrument 1\
C:\Program Files (x86)\VST Plugins (32-bit)\Instruments\Instrument 2\
C:\Program Files (x86)\VST Plugins (32-bit)\Instruments\Instrument 3\
etc.
C:\Program Files (x86)\VST Plugins (32-bit)\Effects\Effect 1\
C:\Program Files (x86)\VST Plugins (32-bit)\Effects\Effect 2\
C:\Program Files (x86)\VST Plugins (32-bit)\Effects\Effect 3\
etc.
Again, that's just an example of a suggested hierarchy of folders and subfolders, and you can certainly install VST plugins in whatever folders you wish, or whichever ones the installation programs want to use as their defaults (if the plugin comes with an installer, which might not be the case). In the examples given above, "Instrument 1" and "Effect 1," etc., are used in place of actual plugin names, so you wouldn't actual use those as the folder names.
Note that some soft synths and other virtual instrument plugins come with a program that lets you run them as "standalone" instruments-- i.e., you can use them outside of a DAW or other VST host. If you don't have a DAW and you want to run some VST by itself, but it doesn't come with the ability to run as a standalone program, you can use a program called SAVIHost ("
Stand
alone
VST
i Host") to turn any VST instrument DLL into a standalone instrument:
http://www.hermannseib.com/english/savihost.htm