those you need to dl from the net and put in the VST folder in your installation (or a fiolder of own choice actually, then you use the folder-icon on the vst preset and browse to your vst-dll file.
Heres a list over vsts that i known to work with lmms:
http://lmms.sourceforge.net/wiki/index.php/Tested_VSTs
I reccomend Synth1 as your first choice :)
Br.