Plugins are installed by following the instructions that come with the plugin. They will usually end up in a directory like C:\Program Files\Steinberg\VSTplugins or another of a small number of similar possibilities. You may need to ensure that WaveLab has the directory concerned in its list of directories to scan when checking for new plugins.
If the plugin is a DLL with no instructions (maybe a free one?), just try copying it into one of the directories in the list that WaveLab already has configured.
Paul