Its a vst plugin. A. It goes into your vstplugin folder. ( probably something like --
Program Files/Cakewalk/VSTPlugins
Edit = It is not going to show up next to the arp on the pro-channel/inspector regardless. You will have to load it either as, "a synth or effect." I have never loaded it, I have no idea what it loads as.. Probably a synth... Than you are going to have to route the midi to the track.. which is going to be a total pita for you, if you are really new at this...
This guy has written out instructions about routing midi to tracks..
http://www.mandelbrotdrummer.com/MidiOutVSTi.html Scroll down for Sonar its near the bottom
Hope that helps, Cheers