Actually, I've seen androgen receptors referred to as BOTH cytoplasmic receptors AND "nuclear receptors". I think the precise description is that androgen receptors are proteins suspended in the cytoplasm; when DHT molecules (or other androgens) bind with the androgen receptor, they are then translocated into the nucleus, where the DHT/receptor complex binds with nuclear chromatin and begins the process of gene expression.
BTW, I'll mention this just for the sake of completeness: there is some evidence (see articles written about this by Farnsworth) that sex hormone binding globulin (SHBG) can bind to a kind of "receptor" on the EXTERIOR membrane of prostate cells, and then a molecule of an androgen can come along and attach to THAT. The entire complex can apparently then influence cellular activities from the outside, although I'm not sure if it's the same effect as when androgens diffuse into the cell and stimulate gene expression in the well-known way. There's been some discussion in the hairloss forums about that phenomenon and whether or not the same thing happens in hair follicle cells, and whether that constitutes a sort of "external androgen receptor" that's distinct from the ones inside the cell.
Bryan