This is the folder you're supposed to unzip the plugin to (remember, the first two letters of the dll plugin must be lowercase "nx..."):
C:\Program Files\ahead\Shared\AudioPlugins
If this folder is empty, most likely you have not installed Nero Burning ROM correctly (there should be some audio plugins included with Nero Burning ROM).
EDIT: Another alternative is
Gambit's Burrrn tool. Check it out, if you feel like it (it's easy to use).