If you are unfamiliar with the Arduino IDE and/or have never uploaded programs to a Feather M0 you should familiarize yourself with the following section of the Feather M0 BLE Learning Guide. The instructions on these links will show you how to configure your Arduino IDE for use with Adafruit boards and libraries.
We recommend that you run some of the BLE sample sketches to confirm that it is working properly. You might also want to take the opportunity to update your BLE firmware according to the instruction in those guides.
If you're not using the BLE option you need not install the BLE library. There are other libraries that you will need as described on the next page. You also have to download the software sketch for this project along with a collection of MP3 files. That is covered in the following sections.