The plugins should be in the plugins folder. winmm.dll should be in your main gmax directory. What OS are you running. I'm running XP pro. It's the only OS I can test them in. They work there.
There might also be a need to have .net framework installed. They were compiled in 2005.net. Maybe one of the Microsoft gurus on the forums would know if and what .net framework might be needed. I have everything from 1.0 through 3.5 installed on my computer so I can't be certain if any one of those are needed.