1 - You download the effect you want to implement or add into Construct 2 (Should come in a .fx extension)
2 - Right click on your Construct 2, and press "Open file location" (If you are using a shortcut). If not, just open the folder in which you have Construct 2
3 - Go to the folder named "effects" and drop the .fx file there
4 - Reload Construct 2 as to load the new effects
NOTE: This is for Construct 2, someone else has already explained how to add effects for Construct 3.
Hope it helped :)