Import the Library into the Arduino IDE
We're assuming here that you want to use the Arduino IDE to develop for the Arduino Due. (You don't have to... there are tons of ways to work with Arduinos.)
Before you can use the library in the Arduino IDE, you need to install the library. To do so, follow the Importing a .zip Library section of this page.
Once you've successfully imported the library, you should see it in the libraries subdirectory of your Arduino directory (which installs with the Arduino IDE).