Ok, I went into my arduino folder, deleted all the files related to the CAN-BUS code, re-downloaded the file, unzipped it to the library folder on My PC its here:
C:\Documents and Settings\jmcpherson\My Documents\Arduino\arduino-1.0\libraries\Canbus
Wrong!
User downloaded libraries do NOT go here. There should be a libraries folder in the same folder that you store sketches in. If there is not, you should create one, and move the Canbus library there.