Hi Jack, and welcome to the forum.
VSTs may come as a single DLL file, in which case "installing" is a simple as copying the file into c:\program files\cakewalk\vstplugins.
Other VSTs, particularly instruments, may have literally gigabytes of associated data that needs to be structured in a specific way. Those types of products usually have a setup program like any other Windows app.
In either case, after installation you must take one more step to make SONAR aware of the new VST before it can load it into a project. To do that, use the plugin manager (in SONAR, go to Tools -> Cakewalk Plugin Manager). Click the "Scan VST Plugins" button to tell the plugin manager to make a list of all the plugins in (or under) the VSTPlugins folder. Those will subsequently appear in context menus for you to choose.
That's the mechanics of installing plugins. Finding them is another matter. Not that finding them is hard, it's not. Finding good ones is a perpetual hunt we all enjoy. The ultimate source of plugin information is
KVR. There, you will find a database of almost every plugin known to man.
Also watch for group buys and sales. If you're patient you can get your VST fix for a LOT less money. (Example: D16 Group's
group buy on effects is going on right now.)
Before you go nuts collecting VSTs, though, you'd do well to come here first and ask about others' experiences with specific ones.