Hey lorri, I noticed that you have vista, this should already include a way to unzip folders. I will try to give you a step by step of how I download and install plugins. I know that you have already downloaded the zip file, but lets start from the beginning and see if we can get you up and going.
Before you begin make sure you have paint.net closed.
1. click on the download link
2. when it says open or save, click open
3. this should bring up a window with the downloaded files already unzipped.
4. to the left of the window will be folders that are on your computer. scroll down until you see computer. click the arrow (not the file name if you do just click the back button at the top of the window). this will bring up more options.
5. look for OS click arrow
6. program files folder click arrow
7. paint.net folder click arrow
8. once you have clicked the arrow for paint.net you should see a folder for effects. Now go to the right side of the window and select the effects (if there is more than one you can click on the organise button and click select all), drag them over to the effects folder.
Hopefully this will help you!!