Copy the collectd module folder from the git repository to your shinken/modules directory (set by modules_dir in shinken.cfg)
TODO
For example, if your modules dir is ‘/var/lib/shinken/modules’:
cd /var/lib/shinken/modules
wget https://github.com/shinken-monitoring/mod-collectd/archive/master.zip -O mod-collectd.zip
unzip mod-collectd.zip