interrupt.h is not a really a third party library file, it's part of the Arduino 'core' files. Here is the path to it in my Windows XP system. It is loaded by several of the Arduino library files.
C:\Documents and Settings\Primary Windows User\My Documents\My Programs\Arduino\arduino-0022\hardware\tools\avr\avr\include\avr
When wishing to install third party library into your PC, you first must create a folder named libraries in the same folder that holds your sketches. Here is what my 3rd party library folder looks like:
C:\Documents and Settings\Primary Windows User\My Documents\Arduino\libraries
And here is the typical contents of one of the library folders, note that the .h and .cpp files must have the same name as the library folder name:
C:\Documents and Settings\Primary Windows User\My Documents\Arduino\libraries\MsTimer2
Hope that helps.