To use Ultra Textures, you must first download the free Ultra Texture DLC. To do this, open your Games Library in Steam, find "Middle-Earth: Shadow of Mordor" in the game list, and select it. On the right under the "Links" section, click the DLC link. You will see "Middle-earth: Shadow of Mordor - HD Content" listed here as a free download and you can click "Install game" to start the download for this.
If a download does not start, go back to your Game Library and right-click "Middle-Earth: Shadow of Mordor" in the game list. Select properties and click on the DLC tab. From here you can see the HD content DLC listed and you can check the "install" box to start the download.
Once the download has completed, you will be able to use Ultra Textures in-game (note that these textures require a fairly powerful PC). You can check the texture section of the Advanced Graphics options menu in-game to review what the recommended hardware is for each Texture setting. Your video card memory will be displayed in the bottom-right of this menu and it is recommended that you not exceed a Texture setting higher than what is suggested for your video card.
You can use the Auto Config option in the Advanced Options menu to have the game determine what settings are best for your PC.