How do I add MIDI Plugins?

Try this. Go to Tools>Cakewalk Plug-in Manager. Click Midi Effects (MFX) on the left. Do you see your new plug-ins in the middle window? If not, click the Scan VST Plug-ins button. No new plug-in can be used until it's found in a scan. Then the software recognizes it.

Thanks.
I should have mentioned that I had actually already tried exactly what you suggested, but none of the new plugins appear, even after doing the scan. 
I also used the options menu to make sure that it is scanning the folder where I placed the file, but still nothing.  It only ever finds the original Sonar plugins.
 
I'm using Sonar Home Studio 6.... not sure if that makes a difference.  I assume it should be able to recognize third party add-ons.
 

The one I'm mainly interested in is a free arpeggiator, found here:
http://www.kirnuarp.com/
 
I feel like a bit of an idiot for not being able to figure this out on my own!  I'm usually okay at this stuff.
Thanks for your help.
   

tools>cakewalk plugin manager> now click on the OPTIONS TAB under the VST Configuration header..... in the new window that opens, click on ADD and then navigate to the new folder/new VST DLL file and click it OK... now run the scan.

Your new VST should now appear where it's supposed to.

Ditto. Downloaded it to my desktop, dragged it into the VST file, scanned it in SONAR Home Studio 6.
Shows in the list and I can insert it, but it doesn't make any sound, yet. I can see stuff happening in it's GUI, but no sound.

Copy that. I downloaded it as well, following Chappel's cue.
It is a VSTi, but it goes between the MIDI source, and the actual synth.
It is not capable of producing sound itself.
Here's what I did:
Extract Kirnu to Shared VST's.
Run scan.
Insert synth of choice in SHS6XL. You will need MIDI Source Track, First Synth Output, and Synth Properties Page.
Insert Kirnu from synth/ VST list.
Very Important! Make sure MIDI Output is selected when you insert Kirnu.
You will also want MIDI Source Track,  First Synth Audio Output, and Synth Properties Page. 
Routing should be as follows:
 Kirnu MIDI Source track:
Input: Appropriate source and channel
Output: Kirnu (channel does not seen to be relevant)
Kirnu Synth track:
Input: Kirnu
Output: Not relevant. You can select "None" here.  I'm not sure how the synth track fits in, but it doesn't seem to work without it.
Set the Input of your MIDI track associated with your actual synth to Kirnu. Here, the channel is relevant, so make sure the channel matches the Output channel in the Kirnu GUI.
In SHS6, it should look something like this:

Note: I am triggering this with a controller, and Input Echo must be turned on for both Kirnu and the actual synth (in this case DimPro) to hear sound. You''ll need to experiment with the various controls in the Kirnu GUI. It seems most effective with patches that have short attack and duration.

Sorry about the inaccuracy of my initial post. That's what I get for trying it late at night after a 15 hour day

Hope that helps. It's kind of cool, once you figure it out.

Hey Robert B, thanks very much for that detailed description, it helped to install another plugin that was also a midi pulugin but would not install in the midi plugin directory.   I got it to work following  your instructions and yes, midi echo is important and selecting midi output in the plugin is important.  The plugin I used was midilegato from xoxos.

well, the problem still persists and i'd wanted to solve it, so i found that franks plugins adding well
and checked registry for few strings and found, changed for BlueARP and at least now it appears in list of mfx and can be added in custom midi plugin list, so i can add it in midi fx channel, but got error loading plugin itself
 
Error :"missing plug-in stand-in"
 

 
to add it you need to generate guid by yourself and write these into registry
 
[HKEY_LOCAL_MACHINE\SOFTWARE\Classes\CLSID\{6204A987-7301-4B9C-8EBE-39FAFC0A4B20}]
@="BlueARP32"
[HKEY_LOCAL_MACHINE\SOFTWARE\Classes\CLSID\{6204A987-7301-4B9C-8EBE-39FAFC0A4B20}\InprocServer32]
@="C:\\VstPlugins\\BlueARP.dll"
[HKEY_CLASSES_ROOT\CLSID\{6204A987-7301-4B9C-8EBE-39FAFC0A4B20}\InprocServer32]
@="C:\\VstPlugins\\BlueARP.dll"
[HKEY_LOCAL_MACHINE\SOFTWARE\Cakewalk Music Software\MIDI Filters\{6204A987-7301-4B9C-8EBE-39FAFC0A4B20}]
[HKEY_CURRENT_USER\Software\Cakewalk Music Software\MIDI Filters\Presets\{6204A987-7301-4B9C-8EBE-39FAFC0A4B20}]
 
so now i'm not sure what to do,
seems like i need some values in last @presets string, that i don't know or maybe something else
for example it show it like directx in the bottom of fx-plugin browser, but it should be vst

MFX plugins come as an executable file, ie an installer which registers the files and places them in the appropriate locations.
MFX plugins are not found by doing a VST scan and you just can’t grab the files and move them where you like.

Franks MIDI plugins come in a 32 bit or 64 bit exe file.