First of all if you want to use MALu torrent plugin you need a software to download torrent files. While any torrent app will do, some of the more advanced function of this plugin works only with uTorrent, so you might want to get that from [here]. uTorrent is lightweight, compatible with most if not all private trackers and overall one of the best ones you can find.
Setting RSS feeds
This is the easiest part, you need to tell MALu what to look for and where. You can include or exclude the anime on your list based on their status: completed and dropped ones are, of course, excluded by default, so that leaves Watching, Plan to Watch and On Hold. Just check their respective boxes if you want to include them in the search. Next you have to tell MALu where to look; at the moment it can check the RSS feeds of three websites [TokyoToshokan], [AnimeSuki] and [Orzbot]. Orzbot and TokyoToshokan also have a distinction about RAW episodes and Subbed ones (and in the case of TT also Non-English subs and Hentai), so you can decide if MALu should search on those categories as well or not.
Set download folders (uTorrent only)
If you're using uTorrent, thanks to those options you can have MALu tell uTorrent to download all your anime in a different folder than the default uTorrent one by selecting "Use the same folder" and setting it below. Notice also that to make this option work, as well as the other one, you need to set the path to the uTorrent.exe folder too.
The other possible option is to have MALu download each anime in its own folder (if set) and those without a set folder will be downloaded in the General Folder. For help about setting anime folders you can read File/Folder Tools