Shield Compatible third party motor driver
You should do you own research as the path followed here did not result in the identically pictured nor identically model numbered item.

You indicated you are using a certain Arduino motor driver board.  On that page there is an "made by" or "by" reference to an OEM.  On the OEM's web page there is a "Dual Bipolar Stepper Motor Shield for Arduino" but the part number and the picture do not (exactly) match your original link.  Regardless, there is what they are calling a "WIKI page" for this (slightly) different motor shield.  I scanned this page and the example code.  I don't see where any device driver is mentioned.  And I don't think the code will compile by its self.

In general, I suggest people who are starting out with Arduino's to stick with well known hardware and software.  Even then I have had problems with newly released hardware.  Also check if drivers and SDKs have been updated each time you start a project.

Another approach you might entertain is to follow a path starting with the chip used on your shield.  It appears to use two DRV8825.  (But I cannot be sure as pictures and model numbers do not (exactly) match.) Here is a discussion on the a well known Arduino web site where people are talking about boards with this chip on it.