This plugin should install as any other WordPress.org respository plugin.
Alternatively using FTP:
A new menu item will appear on the left-hand side called 'CDNJS'. Click this menu and select 'Includes'.
Select the includes you desire. Only select what you need.
If you select the option, it will include the currently latest available JQuery and replace the one that comes with your WordPress distribution.
As just another little boost your website page-load performance. If your visistors are using the CloudFlare/CDNJS files their pages should load quicker, and as more and more people use the CDN, it'll help everyone load their sites quicker!
Not a lot, but we like website optimizations and making things faster/better. We saw this project on the Cloudflare blog and instantly wanted to use it on our sites. What easier way than to make a plugin, and then we can share it too.
Your webhosting either doesn't support the file_get_contents() for URLs, or doesn't have json_decode function/library for PHP.
It's pulling in the complete list of libraries available each time. It only does this on this page, so don't worry about this each time you load your site.