Usually, files like what you mentioned are library files and belong in the libraries subdirectory located where your Arduino IDE executable (arduino.exe) is located. My guess is that you should create a subdirectory below the libraries directory and call it PS2KeyboardEXT and then copy the two files into that directory. For example: if the File --> Preferences menu sequence tells you that your sketches are in:
C:\Users\econjack\Documents\Arduino
then your library directory should be:
C:\Users\econjack\Documents\Arduino\libraries\PS2KeyboardEXT\PS2KeyboardEXT.cpp
PS2KeyboardEXT.h
Once you've copied them to the proper location, you must reload the IDE for it to become aware of the new library.