You might want to verify the value of your settings directory, and whether or not this is where the plugin got installed. On my winxp box, it used 'c:\documents and settings\guivho\jedit' although I have a HOME environment variable defined and I thus expected the plugin to be installed in a subdirectory of my home dir.
Apparently there is no persistent jEdit configuration where one can define the settings directory.
You can start jEdit with e.g. -settings=d:\jeditsettings if that is where you want your local settings. You should verify via 'Utilities' -> 'Settings Directory'. Once this is configured properly, you can install the plugin and you should find it amongst the list of plugins afterwards.
HTH,
Guido