You should put it somewhere in your local-texmf root (if you use TeX Live, you already have one; if you use MiKTeX, create one if not already done with
MiKTeX Settings application).
More precisely, you should put it in:
or even in
since it is an extension to the IEEEtran bibtex style, then refresh the filename data base.
But you also might consider using the
biblatex-ieee package: the job of hieeetr is adding the
eprint field to ieeetran bibtex style file – and this field is already defined in
As pointed by @cfr, after the file(s) have been placed in the relevant place(s), you must refresh the FNDB (MiKTeX, with MiKTeX Settings), or run
mktexlsr $(kpsewhich -var-value TEXMFLOCAL)(TeX Live).