It's a bit hard to say without knowing the specific VST.
Can you give a particular example?
Is it possible it's a souindfont?
Okay . . .I went to the site and found a Voxengo Guitar Amp VST.
I clicked on the download link, which downloads an EXE file.
Once that was downloaded, I ran it, and it installed the plugin into a VST plugins folder.
I opened Reaper, created a track and the plugin was ready and waiting for me to insert.