Plugins (filters) only work on 16 million colors
(Colors>Increase Color Depth>16 million)

Be sure you've enabled filters in your General Preferences.

You'll need to download and install the msvcrt10.dll to your Windows/System file.

Some filters require the Adobe's PLUGIN.DLL file to be in your Windows/System folder to get them to work with Paint Shop Pro.
The PLUGIN.DLL is copyrighted to Adobe and comes in several Adobe programs.  If you own any of those programs then you are free to use the file whether the program is currently installed or not.  

Got a scanner or digital camera? Check those installation CDs for a copy of Adobe PhotoDelux or other Adobe L.E.. They contain that file, along with a bunch of other nice filters (be sure to snag them to drop into your Plugins folder too).

Do not place your acquired filters into PSP's program folder.  Create a completely separate folder on your main hard drive for all acquired filters and then point all your 'filter using programs' over towards that one folder.

For more information on setting up your plugins directory and to download the msvcrt10.dll & check out lots of nifty resources -> get straight over to Joe's page and just do absolutely everything he tells you.