I think what they have done is simply completed a loop (like a key-hole contour) but the arc/circular bit dies away as your variable go to infinity so effectively the flat/horizontal bit is same as the two vertical bits (by Cauchy theorem... as no poles inside loop)
describing the loop: first bit is the original bit the flat/horizontal (-R,+R) bit with R eventually taken to infinity, then to complete the loop you need to add a 1/4 of an arc going from +R to +iR, then comes down to avoid the branch cut, go around the pole and goes up again before arch back from +iR to -R.