It depends on the plugin...
For binary plugins: There is an interface for installing binary plugins in "Plugins -> Manage plugins".
If you're on windows 99% of the time the binary plugin would not work and you would have to compile it yourself.
For source plugins: You need to use the same compiler and wxWidgets, your version of C::B has been compiled with.
If there are some mismatches you would experience strange crashes or problems.