Including libraries?

Complete newbie here - where do I put the library file to include it?

I'm trying out this:
http://www.arduino.cc/playground/Learning/OneWire

And when I copy and paste the code into my compiler thingo, then press the "play" button, I get an error:
21: error: OneWire.h: No such file or directory In function 'void loop()':

I put the OneWire.h file in the same directory as the .pde file I am working with.

Can someone explain this to me please? I'm still learning!

Cheers, just found that!