From the download package there are two installation paths.
The simplest installation path is to simply drop the KeeCloud.plgx file from the zip package into your KeePass directory. You can also drop it into a sub directory within KeePass. Some people like to organize their plugins into one plugins directory but it is up to you. Anywhere under the KeePass program directory will do.
If you compile it yourself then the DLLs will be the only option. They are also provided in the download package.
To install the plugin simply drop the contents of the dlls directory (or the compiled output) into the KeePass directory. The procedure is exactly like above.
If you put both the plgx file and the dlls into your KeePass directory you will install the plugin twice. See issue
#7 for more info.