Audacity is an audio editor and not a DAW or sequencer software. Theoretically it might be possible to load a VSTi as an effect, but I know of no audio editor that can do that successfully.
I assume you play your VSTi's in standalone mode. For them to work properly as effects, you need a sequencer software. I'm not aware of an open source software, but there are rather cheap ones like Reaper or Tracktion, or Learning Editions of bigger sequencer softwares. Or try out demo's.
What do you want to achieve anyway? If it's only a tremolo or chorus effect for your guitar, there are free VST's that can do that.
EDIT: well this is not quite true what I said. You can use the Arturia VSTi's in standalone mode to run your guitar through them (I only have MMV, but I assume it works for the others as well). But then you can't record. Some audio cards offer internal routing for such purposes, or you can try out some audio loopback software to do that. It would look like this: guitar->audio in->VSTi->Audacity. Or use a second computer for recording if available, that would be easier I think.
