In modern versions of (v1.7 and later, including the current 2.0+ builds), you no longer need to download a separate DirectX 11 plugin

The New Way (PCSX2 1.6.0 – Nightly 1.7.5+)

Starting with Qt-based builds (Nightly), plugins are gone. Everything is compiled into a single executable (pcsx2-qt.exe). You no longer drop .dll files into a plugins/ folder. Instead, the graphics renderers (DirectX 11, DirectX 12, Vulkan, OpenGL) are built-in. You simply switch them from Settings > Graphics > Renderer.

How to "Trick" PCSX2 into Using DX11-Like Features Today

If your goal is maximum compatibility with the least hassle, follow these steps in PCSX2 2.x: