First, choose the filter you would like and download it (use right click or control-click). If your browser has added a ".txt" to the file name, rename it so it ends in ".cbf". Then, for each new filter you would like to add into your My Styles tab you can do either of these two things:
Open CameraBag 2. Use "File > Reveal My Styles Folder" and drag the CBF file into that folder. You may have to then close and reopen CameraBag for the filter to appear.
Open CameraBag 2. Drag the CBF File into CameraBag (as you would drag in an image). Then use "File > Add Filter to My Styles".
Note: CameraBag Desktop 1.x filters are NOT compatible with CameraBag 2.x. Adding a Custom Filter from CameraBag 1.x into your CameraBag 2.x My Styles folder can cause the application to not function properly. You will need to remove the incompatible filter from the My Styles folder in order to resume normal function.