Please read this general plugin install faq...

In general, on MAC, for R15 it is best to install any plugin to the user/plugins folder.

on a PC, or pre R15 MAC,  you can install to user/plugins or APP/plugins , it does not really matter which.

Grunge Shader is a shader plugin, not a material. you need to add it to a c4d material channel. You might want to read this, if you are not sure where to find a plugin shader after install.