Easiest way to install third-party shaders is to copy shader libraries (.dll on Windows / .dylib on OSX and .mtd) to the $C4D_INSTALL/plugins/C4DtoA/shaders folder. All plugins located in this folder are read automatically by the plug-in. If the shader ships with C4D UI resource files (.res, .h, .str) you have to copy them to the $C4D_INSTALL/plugins/C4DtoA/res folder.
An alternative to defining third-party shaders is to add folders to ARNOLD_PLUGIN_PATH environment variable.
Third-party shaders are listed under the Undefined group in the shader tree of the Arnold Shader Network Editor if they don't have proper meta definition. You can select and use them as any other built-in Arnold shader.
If UI resource files are missing for a shader, then a custom UI is generated which displays all parameters of the Arnold shader node under the Default tab. It is the third-party developer's responsibility to create and add resource files describing the proper layout and add custom translators where necessary via the C++ API.
Ensure that you download build for the correct OS.
Also, check which Arnold version the build is for. Arnold is binary compatible if the first two digits of the version number are the same, which means if you have a shader built for Arnold 4.2.x.x and the Arnold in C4DtoA is 4.2.x.x the shader will load. If the shader is built for Arnold 4.1.x.x and you have Arnold 4.2.x.x in C4DtoA it's not guaranteed that the shader will work. You can check which Arnold is used by C4DtoA in the Plugins > C4DtoA > Help menu.