You need to extract the files from the zip first.
Then if you drag n drop the "Odyssey (Bonus FX Chains)" onto the "FX Chain Presets - Shortcut' shortcut - the "Odyssey (Bonus FX Chains)" folder will get copied to the folder "C:\Cakewalk Content\SONAR X2 Producer\FX Chain Presets"
If, like me, you have your Cakewalk Content folder on another drive or in a differently named folder the drag'n'drop method of installation will not work. All it will do is copy the material to the wrong location. In this case you have to copy the "Odyssey (Bonus FX Chains)" folder to the proper location yourself.
If you don't know where that location is - open Sonar and check Preferences (under the Edit menu) then look under "Folder Locations" at the last item on the list "FX Chain Presets".
Edited to improve clarity...