Arduino does not include the more general tone library. You will have to go here to find the library, and then install it in the correct location on your system (~/sketchbook/libraries/ on Linux, I don't remember where it is on other OSes). Google Code Archive - Long-term storage for Google Code Project Hosting.
The Arduino base code has a simplified tone library. It does not have a Tone class, and you can only generate one tone at a time. That library is documented here: http://arduino.cc/en/Reference/Tone.