Arduino IDE Setup
If you haven't already, download and install the latest version of the Arduino IDE here.
To download the Arduino library go to the main page of this Github repo and on the right hand side click "Clone or download" and "Download ZIP"
First extract the ZIP file to a convenient location (like your Desktop) then click the folder and you should see a folder called "Code"
Rename this "Code" folder to something like "LTE_Shield" or something descriptive (Note: don't use spaces! Also, this won't be the name of the library itself. The library will be called "Adafruit FONA Library" inside the Arduino IDE because that's what it's based on).
Copy and paste this entire folder into your Arduino IDE library location, which by default is C:\Users{USERNAME}\Documents\Arduino\libraries. If you had the Adafruit FONA library installed previously, delete it first, or save a copy elsewhere. Restart Arduino IDE and navigate to File -> Examples -> Adafruit FONA Library -> FONA_LTE_setbaud and load the example sketch. Remember, the library itself is still called "Adafruit FONA Library", not "LTE_Shield" or whatever you named the folder containing the library.
Select the appropriate board under Tools -> Board. In most cases it will be the Arduino UNO:
If you are using the Shield with as a standalone module (not as a shield) or with a board other than Arduino UNO, please check the pin definitions at the top of the code. Once you have confirmed everything, press upload to load the sketch to your board! Open the serial monitor (Tools -> Serial Monitor) to see the code do its trick!