Audacity doesn't currently host VST effects. It can apply some internal effects but not in real time--it applies them to a recorded segment while playback is paused.
Many computer recording/seguencer programs (like Ableton Live, Fruity Loops, and Cakewalk Sonar) have free demo versions that will let you use VSTs.
Tobybear is a very simple VST host you can download for free...might be a good start.