ATtiny85 is not an option under Tools-->Board yet the directions I'm following insists it should be there:
Select “ATtiny45 (w/ Arduino as ISP)” or “ATtiny85 (w/ Arduino as ISP)” from the Tools > Board menu (leave the serial port set to that of your Arduino board).
I'm using the 0022 IDE.
Have I put the ATtiny library in the wrong location?
No way to know. If you downloaded the files from Google Code Archive - Long-term storage for Google Code Project Hosting. , the folders go under 'hardware' in your arduino-0022 folder. Some of them also have a 'tools' folder, pay attention to that as well.
I figured it out after watching this guy do it:
http://blog.makezine.com/archive/2011/10/how-to-shrinkify-your-arduino-projects.html
After you download the library, titled attiny45_85, then you have to open it up and inside is another folder titled... attiny45_85. You have to use the folder inside as the library, not the original one.