Love your database. Keep expired events under control.
Like any other plugin you simply upload the plugin directory to the wp-content/plugins directory. You can also upload and install it through the WordPress plugins admin page.
Remember that a prerequisite is the existence of The Events Calendar 2.0.9 (though the latest version targets The Events Calendar 3.0).
Once installed and activated a new "Housekeeping" tab will appear on the Events > Settings page. You must enable garbage collection via this tab or it will not do anything.