Please note that the vim-shell plug-in requires my vim-misc plug-in which is separately distributed.
Unzip the most recent ZIP archives of the [vim-shell] download-shell and [vim-misc] download-misc plug-ins inside your Vim profile directory (usually this is ~/.vim on UNIX and %USERPROFILE%\vimfiles on Windows), restart Vim and execute the command :helptags ~/.vim/doc (use :helptags ~\vimfiles\doc instead on Windows).
If you prefer you can also use Pathogen pathogen, Vundle vundle or a similar tool to install & update the [vim-shell] github-shell and [vim-misc] github-misc plug-ins using a local clone of the git repository.