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(+1)

Strange! Are you using an older version of GM? Either way there should be a vertex/fragment shader text file as well as a GML code text file that you can simple copy and paste into your game. You can also find the copy/paste code here as well! Hope that helps! :)

should I paste it into an object or a script?

(+1)

paste the gml code into a general script, and post the shader codes in a shader. The shader should be named 'shd_horrifi'. Then just follow the above examples for setting it up. :)