That is odd..
Are you trying to load a factory-effect, or is it one you have from an other source?
If you have many zip-files , it will take a while for LMMS to index them, but i wonder if you actually are misinterpreting the situation.
When LMMS opens the ad-effect sub-window, it will not always be brought up as the focused window. Windows prioritize the main-window, and the add-effect-window is placed in tray. That will give the appearance of a hanging program, because LMMS are waiting for input from you. Use Alt+TAB to browse Tray, and see if you window is not down there ..
Let us know the outcome :)
else please post your:
* OS (+service-pack-version)
* lmms sound device chosen
* hardware specification (ram & soundcard is the most important)
* lmms instrument involved
* lmms FX-preset (if a factory preset is used)
* a screenshots of error-state -if any oddness appear
* names and best download links of the failing vst's-FX if one are used