Once you've downloaded the plugin, extract the file from the ZIP folder and copy the AlphaMask.dll to the Effects folder of your install of Paint.NET. The exact location of Paint.NET may vary on your computer, but on mine, I had to navigate to WINDOWS (C:) > Program Files > Paint.NET > Effects. If you have trouble finding the folder, you can click on the Start button of Windows and in the search box, type Paint.NET. This should then display Paint.NET as the first result and you can right click on it and select Open location of this file. You will then have to open the Effects folder and place a copy of the AlphaMask.dll in there.
If Paint.NET is already open, you will have to close and relaunch it before you will see the plugin.
In the next step, we can now start work on creating our image.