@dotlin You need to have a plugin host, also known as a DAW for it to function. It’s not just a plug and play system.
My favorite DAW is Ableton Live but that does cost money, lots of money. @the100thmonkey was also talking about Fruity Loops (FL Studio) which is also really good, but, unfortunately, costly as well. So really, you can get the synthesizers and plugins very cheap, but the actual host for the plugins or DAW is quite costly, often with a large learning curve involved as well.
It’s not an easy business to get into. If you already have Ableton, Reason, FL Studio, Pro Tools, whatever, disregard and I’m sure Fluther can help you with those programs, but if you don’t have a plugin host and you seriously want to consider making music I’d recommend you buy one, or at least download the demo of Ableton or FL Studio.