Here's a Little demonstrational Windows program which in order to understand the inner workings of VST plugins - VSTHost.
It's a VST-compatible host that's capable of:
- loading VST effects (aka "plugins")
- parameterizing / editing them
- sound output for VSTis
- MIDI-input and -output
- loading / saving .fxb / .fxp files
- I/O through either Windows MME or ASIO drivers
- Wave Player / Recorder
- MIDI Player.