Theres built in midi sounds that work..but when i try to download a mellotron vst sound to use with my keyboard controller, for example, it doesnt show up in the list.  Theres no real "VST folder" in my cakewalk folder. Im stumped. Any help would be appreciated. I use cakewalk pro audio 9.  I tried putting the dll in a few different folders... nothing works.

Thanks

To the best of my knowledge, Cakewalk did not really support vst at the time of Pro Audio 9. They were heavily vested in the DXi format. Sonar 4 had a vst wrapper, but I don't know when that first appeared. If you have it, it will be a separate program in your Cakewalk program folder.
Unfortunately, your particular version may only support DXi, and this format has become exceedingly rare.