Not sure what you mean. The Vegas default FX plugins are installed (or should be) automatically as part of the main program. You should be able to access them from the Video FX tab at the bottom. If you don't see them, be sure that Video FX is checked under View on the Main Menu Bar at the the top.

For audio FX filters click on the green track FX button in any audio track header. In the new window that opens click on the first green icon to access the FX plug-in chain. Cick and then click OK to add any of the filters to your current project.