On Linux, you can use various plug-in locations. On Mac OS X, it is usually under 'Applications'. On Windows computers, this is usually under 'Program Files'. To install new LADSPA or Nyquist plug-ins, place them in the Plug-Ins folder inside the Audacity installation folder.
Adding libraries can allow you to import or export additional audio formats. Plug-ins can give you extra effects, or more audio generation and analysis capability.
You can download and install plug-ins or libraries to add extra functionality to Audacity.