Make sure you have correctly specified the plugin folder and set the correct preferences in the PaintShop Pro, Preferences screen. Most effects only work if your picture is 16 million colours. If the effects appear greyed-out, then you are working in 256 colours or black and white. Some effects only work on selections, they usually tell you if you try to use them without a selection. There are a very small number of exceptions.
Many filters are available free as parts of demo products, or freeware from the web.
See the Resources Page for many links to PaintShop filters and other goodies. Hope this all helps.