Beginner questions: Using the MCP4261 library

I'm guessing they go into the .../arduino/libraries folder

That depends on what '...' represents. If it is where you have the IDE installed, then that's not the right place. Downloaded libraries go into a libraries subfolder of your sketchbook folder, which is where your sketches are saved. It is usually in your user folder.

See http://arduino.cc/en/Guide/Environment#libraries