To download, click the DOWNLOAD ZIP button, uncompress and rename the uncompressed folder Adafruit_GFX. Confirm that the Adafruit_GFX folder contains Adafruit_GFX.cpp and Adafruit_GFX.h
this is all in the win directory but doesnt show up in the IDE
It should not be in the win directory but the same one as your Adafruit_ST7735 directory is in. Namely the /libraries/ folder. It is only libraries here that will show up.