Software Libraries are very similar. We already studied what a procedure is, in lesson 3: a procedure is a list of things to do. A library is a big collection of procedures, where all the procedures are related! If you, say, want to control a motor, you may want to find a Motor Control Library: a collection of procedures that have already been written for you that you can use without having to do the dirty work of learning the nuances of motors.
For example, this is the Serial Library, which allows the Arduino to send data back to the computer:
Sketches will often depend on libraries, you can see what they are by looking at the top of the sketch. If you see something like:
Two optional files you may see are keywords.txt (this is a hints file to tell the Arduino IDE how to colorize your sketch and examples folder, which may have some handy test-sketches. These will show up under the File→Examples→Library dropdown.
In v17 and up, the user libraries are now stored in the ArduinoSketchDirectory/libraries folder. You may need to make the libraries sub-folder the first time. However, the good thing about this is you wont have to move & reinstall your libraries every time you upgrade the software.
For example, here is how it looks when NewSoftSerial is installed in Windows (of course your username will be different).
Check that the Documents/arduino/libraries/MyNewLibary folder contains the .cpp and .h files.
After you're done, restart the Arduino IDE.