In order to try out our demos, you'll need to download the Adafruit BLE library for the nRF51 based modules such as this one (a.k.a. Adafruit_BluefruitLE_nRF51)

You can check out the code here at github, but its likely easier to just download by clicking:

Rename the uncompressed folder Adafruit_BluefruitLE_nRF51 and check that the Adafruit_BluefruitLE_nRF51 folder contains Adafruit_BLE.cpp and Adafruit_BLE.h (as well as a bunch of other files)

Place the Adafruit_BluefruitLE_nRF51 library folder your arduinosketchfolder/libraries/ folder.
You may need to create the libraries subfolder if its your first library. Restart the IDE.

We also have a great tutorial on Arduino library installation at:
http://learn.adafruit.com/adafruit-all-about-arduino-libraries-install-use

After restarting, check that you see the library folder with examples: