The problem is that on that page there is no library, just the programs for the robot.
Nowhere in that link is the actual library code. I have searched for the library and always get sent to this page. I even went so far as to register with the site to be able to download the library but was denied.
Then I tried another search and found this page. From there I was able to download a zip file of the HCPCA9685 LIBRARY. Once downloaded i went to the IDE and installed the library with the Add .Zip library. It installed successfully. I even loaded one of the examples from the library and compiled the example with no problems.
Hope that works for you.