I'll assume you're having trouble with my Feather effect. (Just so I have some name to type.)
Since you said that you put the Feather.DLL file on your desktop, do this:
1) Right-Click on Feather.DLL and choose Properties
2) Look at the bottom of the general properties page and click the "unblock" button if it exists. If there isn't one, ignore this step.
3) Click OK to close the properties dialog box.
4) Right Click on Feather.DLL and choose "Copy" from the menu
5) Click the Start button and click Run
6) In the Run dialog box, enter: %ProgramFiles%/Paint.NET/Effects
7) Press enter. That should open your paint.net effects folder window.
8) Go inside of that window and cllick the Edit > Paste menu. You should see the Feather.DLL in the window.
9) If Paint.NET is open, close it.
10) Run paint.net
11) Click the Effects menu and look for the "feather" command.
When following these steps, where are you having trouble?