But I have downloaded Adafruit_MotorShield.h
Could someone please tell me what I am doing wrong? Is the file in the wrong place?
How did you download/install the library? Did you use the library manager of the IDE? The library is available through the library manager, and it is best to use this method.
If you did not use the library manager, there may be a need to install the library in your user library folder.
Where is the downloaded library file located on your computer? What did you do to install the downloaded library?