Only Gimp plug-ins go into the Gimp plug-ins folder.
natsort.py is a standard Python library module and must be properly installed in the Python directory tree so that the Python interpreter can find the pre-compiled .pyc files (ns_enum.pyc, etc).
On Linux, I just did this on a terminal window:
$ pip install natsort
and I could then immediately import the module into Gimp's Python Console:
>>> import natsort
>>> a = ['a2', 'a9', 'a1', 'a4', 'a10']
>>> sorted(a)
['a1', 'a10', 'a2', 'a4', 'a9']
>>>
I'm not sure what the installation process for Python modules is on Windoze - refer to the Python docs at
https://www.python.org/