Plug-ins are mearly software extensions to enhance a certain software package within it's shell coding..
Example:
You have winamp and want to play a avi file. Lets say that Winamp won't play the file, so you install (load) a avi plugin for it, and *poof* now you can view the avi file using Winamp.
Another example:
Your tired of the basic 15 band parametric eq that comes with winamp, so you install (load) a 30 band eq. *poof* Now you have a 30 band eq instead of a 15 band eq.
Basically, a plugin is a little program, seperate from the program that your going to be using it with, but needs the core program (like winamp) to do anything for ya.