The commands in this menu apply effects to your audio tracks. A small number of built-in effects come with Audacity, however on Windows and Macintosh systems, you can expand Audacity's capabilities using VST plug-ins. (On Linux, LADSPA support is coming soon...)
To apply an effect, simply select part or all of the tracks you want to modify, and select the effect from the menu. Titles which end in an ellipsis (...) will bring up a dialog asking you for more parameters.
To use a VST plug-in effect, put the effect in the directory (folder) called "VST", which should be in the same directory where Audacity resides. If there is no directory called VST, create one. The next time you launch Audacity, any plug-ins you added will appear in the Effect menu.