I don't usually audition plugs... I have simply allowed them to install by default on my new DAW. Many of them by default are creating their own folders which I like. Many of the better FX & plugs will ask where you would prefer to install them, and they ask if you want them to create a unique folder for them in that location.... I choose those options and tell them where to install and yes, to make a new folder in that directory.
These folders are, for the most part, installing either in Program Files, or in the Cakewalk directory and in the Plug in or VST folder.
I can, if I don't like the location of default, move them... cut and paste into the Cake folders.
BUT.... since this is a music machine only, I'm not being as picky as long as they are in their own folder on the C drive.
The ones that gave me fits were the stand alone freebies that I was playing with on my first DAW.... but have long since left behind and even removed as I started buying decent synths and FX.
I now have a very small stable of plugs and FX that I have installed on the newest DAW.... kind of the tried and true stuff that I can not live without.
EDIT: if you didn't do the custom location install and as a result, have FX and VST's scattered about the drive.... you can still go to the FX and plugs folders in Cake..... create a new folder of each of the wayward children... go to their current location and cut and paste each one to it's new folder in Cake/plugins or VST's... just be sure to go to the cakewalk plugin manager and tell cake where to find them now.