Download them wherever you like to store things (I also keep a downloads folder). But extract them to wherever they want to default to - that is usually the Steinberg folder). If it's not and TDR insists on having them somewhere else, then maybe you can redirect them, or copy them into the Steinberg folder for Reaper's sake.
Don't extract and run them from the website as you download them.
You need to resolve either Reaper's awareness of where those plugins are located, or figure out where the plugins need to be installed for Reaper to recognize them.
When you say "it's been working fine", do you mean you can hear the affect of those effects on the tracks, or that you can open the effects and change/manipulate their settings, even though Reaper issues that warning?
Oh, I get it now! I would probably try to complete the current project, before moving things around and having to re-associate all the links between them and Reaper again.
When you've got things with the current project under control, I'd probably want to do a bit of housework on the system, too. Maybe a defrag and a scandisk of the main C drive is in order - as well as a virus scan or two (if this pc has been online for anything between the last time it work fine and the first time it screwed up.).
As tempting as it is to find a proper fix right here and now, when this sort of thing happens, it just isn't a great idea to do so in the middle of a project, if you can avoid it.