Assume you are referring to to Full version of TH2. The TH2 installation process prompts for the Vst directory. I believe the Vst locations default to "C:\Program Files\Vstplugins" on 64bit and "C:\Program Files (x86)\Vstplugins" on 32bit. You can add the path to the Cakewalk Plugin Manager or move the th2 dll into "C:\Program Files\Cakewalk\Vstplugins" on 64bit and "C:\Program Files (x86)\Cakewalk\Vstplugins" or uninstall/reinstall TH2 and use the CW VST directories when prompted
In my case, I installed the TH2 dll in "C:\Program Files\Cakewalk\Vstplugins\Overloud\TH2" because I like to keep plugins segregated by vendor but that is just a matter of choice. The stuff above is all you really need.
If you choose to install into the Cakewalk Vstplugin trees, you need to be careful with Overloud updates because they always want to install in their default locations.