Bi color LED will not compile

Arduino: 1.6.10 Hourly Build 2016/06/28 09:34 (Windows 10), Board: "Arduino/Genuino Uno"

C:\Users\dstrn\Desktop\BiColorLED.ino\BiColorLED.ino.ino:1:24: fatal error: BiColorLED.h: No such file or directory

#include <BiColorLED.h>

^

compilation terminated.

exit status 1
Error compiling for board Arduino/Genuino Uno.

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