Sure, it's in the Arduino playground. I used it for my 5x5x5 LED cube project, works great. The link for the download is about half way down the page:
http://www.arduino.cc/playground/Main/MsTimer2
PS: If you are asking where to place the library so that you can include it in sketches, you need to create a folder named libraries inside the same folder that holds all your sketches. There you can place folders with all the library you download or creat. Mine look like this:
C:\Documents and Settings\Primary Windows User\My Documents\Arduino\libraries
8 Folders:
Button
DS1307
Flash
MsTimer2
Streaming
String
Tone
__MACOSX
0 Files:
Lefty