The Shadow catcher is a top level shader function,
so,. You’d create a new shader, then open it in the shader room,.
Select the top level of the shader tree,. and click the blue button (multi channel)
Click that and then select Lighting Models / Shadow Catcher from the drop-down menu.
set all the other values or functions to none. (see pic)
You can save this shader to your “My Shaders” Library in the browser. and drag it back into any other scenes.
As for the HDRI stuff,. HDRI files can either be loaded as part of a pre-built scene,, or more normally HRDI’s are images which you load into the Scene / Background.
Dimension Theory normally creates a set of folders with thumbnail images,. so you can easily load things into a scene,. but you must load them by dragging the thumbnail icon, from the browser, and dropping it onto the Scene / Background ,. in the top right panel.
(see pic)
There should also be a read me file for every product in the store which should give you details about where he files are located and how to use them.
Things like HDRI Images, won’t be automatically added to your list of folders in the browser, so, you normally need to Add the folders for these product to your “Misc” tab on the browser.
Hope it helps 

Click thumbnail to see full-size image