Problem including HMC5883L Compass Library

Good evening, i'm trying to include HMC5883L Compass Library to my code,
but it is not recognizing the library, even though I have downloaded the library

#include <NewPing.h>
// inlcuded succesfully

// Reference the I2C Library, inlcuded succesfully
#include <Wire.h>

// Reference the HMC5883L Compass Library
#include <HMC5883L.h>
HMC5883L compass;

it is giving me this error message:

Arduino: 1.8.5 (Mac OS X), Board: "Arduino Leonardo"

/Users/moumen-mahayni/Downloads/NewPing-2/examples/NewPing3Sensors/NewPing3Sensors.ino:5:22: fatal error: HMC5883L.h: No such file or directory
#include <HMC5883L.h>
^
compilation terminated.
exit status 1
Error compiling for board Arduino Leonardo.

Moumin93:
I have downloaded the library

But did you install the library. Here are instructions for installing Arduino libraries:
https://www.arduino.cc/en/Guide/Libraries

After that, if it still doesn't work come back with an exact description of what you did.