where is the Due audio library and from where can I download it?
Normal Arduinos aren't fast enough to do much audio. The Due is, but it has a very restricted DAC output so you would normally end up with a dedicated DAC chip and then a library to drive that.
Some of PJRC's Teensy audio library would probably work on a Due but then you may as well buy a Teensy and do the job properly.
You can install it via Arduino's Library Manager (you should install Due core files via Board Manager, too)