For documentation of the step see the wiki on GitHub:
First build the (kettle-neo4j-core)[https://github.com/mattcasters/kettle-neo4j-core] library.
You can use Maven to build this plugin
mvn clean install
The plugin jar can be found in target.
After building or downloading from the releases you can install the Neo4JOutput folder in the plugins/ folder of your Kettle (Pentaho Data Integration / PDI) installation folder.