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Not all WP plugins work with WPMU. See WPMU Plugin Compatibility. Plugin authors are working towards better compatibility.
There are some special WPMU Plugins. See the official plugin repository and the WPMU tag. http://wordpress.org/extend/plugins/tags/wpmu or http://wordpress.org/extend/plugins/tags/multisite
Please refer to each plugin's specific documentation. Plugins built specifically for WPMU may be required to be placed in the mu-plugins folder.
These plugins are usually designed to work sitewide or to be available to Site Admins only.