Here are all important links:
http://lmms.io/forum/viewtopic.php?f=1&t=4740
-A few rules and useful forum instructions
Your FX-plugins should be copied to your plugins folder
If you installed LMMS in C:\, then the default path to your plugins would be C:\LMMS\plugins.
You should copy the dll, and any dependency-files, like special graphic, presets to that folder