Since notations are confusing, I used different notations: $d\rightarrow b$, $\alpha\rightarrow a$. $$I=[1-e^{-shr^{-a}}]br^{b-1}dr$$ when $r^b=p\rightarrow br^{b-1}dr=dp$ and $r=p^{\frac{1}{b}}$, by substituting these, we get $$I=[1-e^{-shp^{-\frac{a}{b}}}]dp$$ Now use $\delta=\frac{b}{a}$ which gives $$I=[1-e^{-shp^{-\frac{1}{\delta}}}]dp$$ Now use $p^{\frac{1}{\delta}}=x\rightarrow p^{-\frac{1}{\delta}}=\frac{1}{x}$ and $p=x^\delta\rightarrow dp=\delta x^{\delta-1}dx$, sustituting these, you get $$I=[1-e^{-\frac{sh}{x}}]\delta x^{\delta-1}dx$$ which gives the third step.