You are doing things correctly. Either the plugin is including its languages folder and text domain in a wrong way, or your locale is wrong.
Note: the following paragraph is outdated (written 4-5 years ago), so consider using Loco Translate instead of Codestyling Localization which was recommended before, as it is no longer maintained and might be a security threat to your site!
You can install Codestyling Localization plugin in order to check if the plugin is being localized as it should be, and if it doesn’t give any warnings, then try forcing the locale of the site from Settings -> Language dropdown menu.
Update: Without plugins you can add the file in plugindir/languages/ as textdomain-xx_XX.mo and if you want it to remain translated after plugin update, add it in wp-content/languages/plugins/ with the same name of the file(s). wp-content/languages/themes/ is the directory for theme po & mo files.
Plugin and theme translations won’t be loaded, if in wp-content/languages/!