The file you download is a zip file.
First unzip that. Then you get the executable. Then run the executable file and it will install the plugin.
Did you get the licence screen that you have to click "I Agree" on?
The file you download is Vegdnr.zip.
When you unzip that you get Vegdnr.exe.
You double click Vegdnr.exe, click "I Agree" to the licence and it will install. Then open Vegas and look in the "All" filter folder or in the "3rd Party" folder.
Huh, did you unzip the file you downloaded?
I think in Windows 7 you just double click the zip file and a new window opens. In there you will see the executable. Then double click that.
OK, by default Win 7 like XP doesn't show file extensions. Probably not a bad idea to change that to avoid confusion. Even so, I double clicked the downloaded zip file and a new window opens to show the contents. I double clicked the only file contained therein and Win7 asks if I really, truly want to run this as it ain't certified or whatever. As I don't have Vegas installed on that machine I cannot go any further but you seem to have not even gotten to that stage.