If you are using previous version of EShop, then simply update it to latest version. If you don't want to update EShop, then just need to choose plg_osmembership_eshop.zip in the package to install it as a normal plugin in Joomla. If you are installing a fresh latest version of EShop, then it has already had the integration feature.
First, you should go to Extensions -> Plugin Manager to filter Membership Pro - Eshop Plugin and enable it. Then, go to Components -> Membership Pro -> Subscritpion Plans. When you edit a plan, you will see a new tab called "Eshop customer groups settings". Under this tab, you will see a list of Customer Groups in EShop, let choose a customer group and Save. Now, when users buy a subscription in Membership Pro, they will become a customer in EShop and they will be assigned to corresponding Customer Group which is assigned to the subscription plan.
EShop has a tool to migrate subscribers from Membership Pro into customers in EShop. Go to EShop -> System -> Tools, then click on Membership button, the system will do the migration automatically and show you the successful message once it is done.