EXE plugin installation
Archives with the plugins usually preserve the folder structure. If there are folders named «plug-ins» or «scripts», you should copy all the folders from the archive into the directory: :\Documents and Settings\username\.gimp-2.6\
If there is no structure, you should read the manual. The plugin may require a direct installation.
If there is only one .exe file in the archive, you should copy it to the folder :\Documents and Settings\username\.gimp-2.6\plug-ins.
Then restart GIMP and this plugin will appear in the Filters menu.