It should be included.
Once you have loaded the content in your chosen Core press F1 to open the Quick Menu (or whatever you have assigned).
Scroll down to Shaders, open that; then at the top of the menu switch Video Shaders to ON.
Scroll down to Load Preset, then depending on your video driver (most likely GL); select shaders_glsl then crt, then scroll down the crt-hyllian.glsp and select it.
You should see a notification showing that it has enabled.
Then press F1 to return to your game with the shader working.
Some shaders have a huge impact on performance.