You can install the library. In the projects folder, every project has its own folder, and there is also a 'libraries' folder.
That folder has sub-folders for each library.
To include from a library, you do : #include <dht11.h>
The Arduino IDE can install in such a sub-folder automatically, by selecting a *.zip library file.
If you take the *.h and *.cpp and add them to your project, then it is no longer a library, but part of your project.
To include a file from your own project, you do : #include "dth11.h"