In the Effects menu you go into Add/Remove VST directories.
Is this what doesn't work?
Do you have a VST plugins directory in the Program Files?
If not, install some VST plugins and it should show up.
P.S. Some company's like Steinberg and Waves use there own VST directories.
So add these to if you have them installed.
If the Add/Remove VST directories is grayed out (not selectable)
You may want to reinstall Audition.