Did you install the plugin into your emulator's plugins folder and select it from within the emulator? Did you check the box labeled "Export VRML"? Did you create the directory C:\VRML before attempting to export? Those are the only things I can think of - can you be more specific about your problem?
Edit: I just realized that this plugin doesn't work on PJ64. It works fine on emulators like Mupen64 and 1964, so use those. Preferably, Mupen, because it's a lot more stable than 1964.