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.
If you want to use the temperature sensor you will also have to download the Adafruit MCP9808 Library by also clicking "Download ZIP" but this time you can extract the file directly to the Arduino libraries folder.