The plugin uses 'snmpwalk' and 'snmpget' commands, so you have to add them; for instance in Ubuntu they are in the 'snmp' package:
$ sudo apt-get install snmp

Just copy the plugin in the right directory, e.g.:
/usr/lib/nagios/plugins/
and remember to make the file executable.

Then in /etc/nagios3/commands.cfg add:

define command {
command_name check_snmp_hp-procurve
command_line $USER1$/check_snmp_hp-procurve.sh public $HOSTADDRESS$
}

and in Nagios services' definition file:

define service {
hostgroup_name switches
service_description HP-hw
check_command check_snmp_hp-procurve
use generic-service
notification_period work
}

That's it.