Make Server usind Arduino mega 2560 and Esp8266 Wifi module

Hello Guys i am new in this project using first time Arduino Mega 2560 and esp 8266 Need Your Help.
when i connect my Esp8266 Module with Arduino Mega and try to use some code from net it shows me this

" "fatal error: ESP8266.h: No such file or directory ‪#‎include‬ “ESP8266.h”" thanks is advance "

Error how can i solve this Step by Step please.

step 1: post your code

Error how can i solve this Step by Step please.

Step 2) Download the appropriate library. Step 3) Install the library properly.