What version of vegas are you using?…
and here is the instructions given on the site :
Vegas New Deshaker may be installed as either a Vegas Script
or Vegas extension. The self-extracting archive defaults to
installing as a script in the folder C:Program FilesSony
Vegas Pro 8.0Script Menu but that may be overridden to place
it in your My Documents Vegas Application Extensions or
My Documents Vegas Script Menu folder for example.
Steve Rhoden
(Cow Leader)
Creative Arts Director and Film Maker.
Portfolio at:
http://www.youtube.com/hentys