Read this first http://arduino.cc/it/Reference/Libraries
. SdFat is a Contributed Library.
Also read this arduino.cc/en/Guide/Environment
. It explains where things are.
Once again, install the SdFat folder in the libraries sub-folder of your sketchbook folder.
To install third-party libraries, create a directory called libraries within your sketchbook directory. Then unzip the library there. For example, to install the DateTime library, its files should be in the /libraries/DateTime sub-folder of your sketchbook folder.
Please learn the basics of Arduino. There are many articles on installing libraries. Google for "installing arduino libraries".