hello, I would like to try differents VST effects , where to put the dll ?

It really doesn't matter where you put them, provided the path to them is mapped under Utilities > Cakewalk Plugin Manager > Options
 
But, the convention has always been to install them into C:\Program Files\Cakewalk\Vstplugins
 
Some plugins will let you specify the dll location when installing.

ok but I can not find my effet.

Have you done a VST reset & rescan?

Restart Sonar.
Right click in your FX bin on the track you want to add the FX to.
Your VST should be somewhere in the list.

No , the effect does not appear

VST & reset rescan is where?

Utilities > Cakewalk Plugin Manager > Options > Reset All
Followed by Scan VST Plugins
 
 

The path and reset functions may be performed directly in the Cakewalk Plug-in Manager however; Cakewalk recommends using Preferences > File > VST Settings for those operations. The results will be the same.
 
Also make sure the plug-in layout is set to "Default All Plug-ins." If any other layout is used, new plug-ins must be manually added to the layout. The layout setting is at the top of the menu used to select plug-ins and in the arrow in the Plugins tab in the browser.

I booted but no change ...

I found the road was not good ...