To OP: there is a link:http://www.arduino.cc/en/Hacking/Libraries and more info in General section: Arduino Playground - TutorialList
It's not necessary to create a library, it's only simplify navigation in the huge programs, and doesn't change functionality at all.
To Nick:
Plus this particular FFT library was written for the Mega,
I thought you mean arduino Mega board, but itr's not the case, as Chan's softaware written for
The microcontroller is an Atmel ATmega8
which is even smaller uCPU than AtMega328
on arduino Uno.