Here are all important links:
viewtopic.php?f=1&t=4740
-A few rules and useful forum instructions
That depends of what OS you have
Windows supports natively
Linux through WINE
MAC does not support VST
You can start here:
https://lmms.io/wiki/index.php?title=Working_with_VSTs
And if that article does not solve your issue, please post your:
* Name of your Operative System (Windows/ Linux/ Mac) And subtype ('Home' 'Mint' '10.13' aso)
* lmms version
* lmms sound device chosen
* hardware specification (ram & soundcard is the most important)