Help Newby with Dangershield Demo Programs

Hi, I hope I am in the right place. I am new to programming the Arduino. I have past "Pascal" skills but this is new to me. I have a Dangershield board and Downloaded the example programs here. The only program that works is the Gama Sliders pde. The other examples give me numerous errors when I compile them. I assume the init.h, data.h and such files that are in the same directory as the .pde file must be moved to a "library" directory or something before compiling? Any help here greatly appreciated. Dave