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Upload the plugin directory to your "plugins", or "mu-plugins", directory.

Activate the plugin, if you've installed it in the "mu-plugins" it's not necessary.

Now go to Settings->Discussion and enter one or more email addresses into the 'Change Comment Status' field.

If you have enabled the 'email me whenever' options you will have to deactivate them in Settings->Discussion or you will receive notifications twice.

This system works automatically, so there is no need to intervene.