without a link to the script you are trying to use its difficult to help. There are 2 editions of winbuilder, making it confusing. the scripts/plugins are not interchangeable between editions. You can't use "scripts" with the new 20xx winbuilder and you can't use "plugins" with the 8x winbuilder.
the winbuilder 8x generation uses "scripts" with the .script extension. they can be placed under the project directory. It doesn't matter where but most projects have an Apps directory you should put it under making it easier to find and separated from the build scripts.
the other winbuilder 20xx uses "Plugins". these you would have to put the .zip file in the C:\Winbuilder\Downloads directory and type install <plugin name> to get it to show up.