Hello Bisimwa.
PaulS is correct. As a newbie myself, I understand your next question- "where do I get a library?"
1.) On your IDE programmer, goto Sketch/Include Library/Manage Libraries.
2.) Type "DHT22" into the textbox.
3.) Click "More Info".
4.) Click the "Install" button.
5.) Close IDE programmer
6.) Re-execute IDE programmer (reloads new libraries).
7.) Re-open sketch.
This is a common misconception. It does work to click "More info" but actually clicking anywhere on the entry for the library works, there's nothing special about "More info". After clicking anywhere on the library entry you can click "More info" to be taken to the website specified by the library author if you like.
JMeller:
5.) Close IDE programmer
6.) Re-execute IDE programmer (reloads new libraries).
7.) Re-open sketch.
Those last three steps are not necessary with any relatively recent version of the Arduino IDE.