Well, it's got a bunch of reverbs, and it's got a bunch of delays, and some chorus effects and phasers and odd bits of weirdness. You can use all of that stuff on guitar for effects. All of that stuff is built in.
But if you want to get your hands on a plugin for something special, then Cool will recognize it and you can use it in Cool on your dry guitar tracks to add the effect.
But you can't record the Cool Edit effect or the plugin effect when you're recording, right? You have to record the track dry, and add the effect later.