I added the library by downloading the zip file and click on 'Sketch' --> 'Include Library' --> 'Add .ZIP library' --> Selecting the zip file.
That sounds right.
Note that the code I posted that works for me and not for you uses a basic RFID library
The library files have this comment in them
/* RFID.h - Library to use ARDUINO RFID MODULE KIT 13.56 MHZ WITH TAGS SPI W AND R BY COOQROBOT.
* Based on code Dr.Leong ( WWW.B2CQSHOP.COM )
* Created by Miguel Balboa (circuitito.com), Jan, 2012.
*/
but I have no idea where I downloaded it from