You can actually put your art pipeline anywhere you like. The key thing is to make sure that your root directory for your HeroEngine art assets are under a directory named HE (in caps).
The artpipeline plugins can be anywhere as well, though make sure in max or maya you do have the correct directories. Myself, I have a Project drive so my structure tends to look like this:
F:
|_ HeroEngine
....|_Artpipeline
....|_HE
Then everything that Krun showed in his image inside the HE directory.

Key thing to make sure is that all of your art assets, including textures are in the same matching directories as you make and export them, this includes textures. They must match the same pathing as you make your assets as they do in the engine.
I hope the added explanation can help. Please feel free to ask any questions. We are here to help!