When you install it, it should set up it's own folder. If not, it's easy enough to create one, drag the synth DLL file there and let cake know through the PLug in Manager where it is.
Many of my synths and FX's are in a VST folder in Cakewalk.
But really, you could have folders anywhere on the computer as long as Cake knows where it is, everything is fine. I like to keep them in cake for convenience.
same with samples and patches. However, I like to have all my DAW software on the C drive so everything is on the main drive. All my libraries for samples are on a different drive since they are so freaking huge.