When you install your shiny new plugins, Sonar will ask you where you want certain features of the plugin installed to on your system.
It's recommended that you inistall any 32 bit plugins to:
C:\Program Files(x86)\Cakewalk\VST Plugins
64 bit plugs to:
C:\Program Files\Cakewalk\VST Plugins
Many of them might ask where you want their library contents installed, and the choice you make will depend on how many hard drives are on your system and how you have them configured.
If you're talking about any of the gigantic orchestral libraries, or a drum library such as BFD2 then you really need to consider installing these on a dedicated, fast, non 'green' internal drive
Sonar will already know where the "stock" plugs are located so if you add them to a different path, then you';ll need to add this location to Sonar's "Scan" field in the plugin utility.