On that web page, click on the box that says "Raw". Select all the text on that page (Edit->Select All). Copy the text from the page (Edit->Copy). Switch to the Arduino window. Select File->New to create a new sketch. Click in the sketch window and then paste (Edit->Paste) the text. Select File->Save As... to give the sketch a name.
Then you have to install the Audio library (or you did but installed it incorrectly).
To do so, the easiest is probably using the IDE
menu sketch -> include library -> manage libraries; this will pop up the library manager window
In the library manager where it says 'Filter your search', type Audio.
Pick the correct one; I have no idea which one to use for the teensy; trial and error, at least for me.
If you picked the wrong one, it's probably in C:\Users\yourusername\Documents\Arduino\libraries; you can delete it from there.
Did you install the Teensy add-on? The Teensy family is not made by Arduino so the core is not part of the Arduino software. It also doesn't seem to be available through the Board Manager so you will have to follow the install instructions:
Yes I have installed teensyduino and I found the audio from there but then this pops up:
C:\Users\OSCAR~1.DEE\AppData\Local\Temp\arduino_modified_sketch_953024\sketch_feb09c.ino:32:30: fatal error: Adafruit_DotStar.h: No such file or directory
Multiple libraries were found for "SD.h"
Käytetty: C:\Program Files\Arduino\hardware\teensy\avr\libraries\SD
Ei käytössä: C:\Program Files\Arduino\libraries\SD
Error compiling for board Teensy 3.2 / 3.1.