Ableton's Learn Live series breaks down the basics of getting third-party plug-ins working in Live. VST plug-ins run on any system, while AudioUnit format is Mac-only, and both show up under the Plug-ins section of your browser once installed.
Live's Preferences give you control over plug-in behavior: the Look/Feel tab has settings for plug-in window handling, and File/Folder lets you point Live to your VST and AudioUnit system folders. A custom VST folder option exists too, but it's meant for producers who've already set up their own folder structure.