Error compiling

HI,

I have an Arduino mega which I have used for several simple LED based projects
I am now trying to connect a serial display, this one.

http://www.ebay.com.au/itm/331476714574?_trksid=p2057872.m2749.l2649&ssPageName=STRK%3AMEBIDX%3AIT

But when I run any of the test code they provided I get compile error msgs like below.
Do I have to do something with the library file? There was no mention of having to install extra files.

Using library Wire in folder: C:\Users\Phil\Arduino\hardware\arduino\avr\libraries\Wire
Using library LiquidCrystal_I2C in folder: C:\Users\Phil\Arduino\libraries\LiquidCrystal_I2C (legacy)

C:\Users\Phil\Arduino\hardware\tools\avr/bin/avr-g++ -c -g -Os -w -fno-exceptions -ffunction-sections -fdata-sections -fno-threadsafe-statics -MMD -mmcu=atmega2560 -DF_CPU=16000000L -DARDUINO=10605 -DARDUINO_AVR_MEGA2560 -DARDUINO_ARCH_AVR -IC:\Users\Phil\Arduino\hardware\arduino\avr\cores\arduino -IC:\Users\Phil\Arduino\hardware\arduino\avr\variants\mega -IC:\Users\Phil\Arduino\hardware\arduino\avr\libraries\Wire -IC:\Users\Phil\Arduino\libraries\LiquidCrystal_I2C C:\Users\Phil\AppData\Local\Temp\build5362578125742188872.tmp\SerialDisplay.cpp -o C:\Users\Phil\AppData\Local\Temp\build5362578125742188872.tmp\SerialDisplay.cpp.o
SerialDisplay.pde:4:31: fatal error: LiquidCrystal_I2C.h: No such file or directory
compilation terminated.
Error compiling.

LiquidCrystal_I2C library isn't installed, yet is required by the library.

DrAzzy:
LiquidCrystal_I2C library isn't installed, yet is required by the library.

How do I iinstall it?

Download the zip file on that page.