I think you're looking for a video editor. Windows Movie Maker probably has everything you need, but if it isn't I suggest looking into more advanced software such as MoviePlus.
Make sure you didn't just unzip the plugin pack into the effects folder. It contains subfolders for both Effects and FileTypes and Paint.NET doesn't look in subfolders for plugins.
Save the "animated jpeg" and open it in a text editor. The first few characters will tell you which format it really is.
If it really is a JPEG, javascript might be used for the animation.
It's up to the plugin author. You can't do it with ExtendBorder and i'm not planning to enable that in any of my plugins (when I release versions supporting translation).