You need to take some time to understand how to install Arduino libraries. Often when you find some Arduino sketch on the Internet it will have library dependencies which must be installed to compile the sketch. So installing libraries is an essential skill if you want to be successful with Arduino.
Here you will find a general guide:
In the case of your sha256.ino sketch it's the example sketch for a library so everything you needed was staring you right in the face if you had just bothered to look a little more closely at what that repository is. To install it:
- Download https://github.com/intrbiz/arduino-crypto/archive/master.zip
- (In the Arduino IDE) Sketch > Include Library > Add .ZIP Library > select the downloaded file > Open
You will now find the example sketches that come with the library accessible via the Arduino IDE's File > Examples > arduino-crypto-master menu.