Im NOt one of the experts here. But ive had every concievable problem with this setup (Mostly because i was using an arduino ng with atmega8 at first. Requires different hardware/software setup)
Delve into the downloaded file. You need to move the Tlc5940 library folder to the arduino libraries folder amongst other things. If you have more than one tlc5940 you need to define that in tlcconfig.h i believe etc.