the files SHTX3.ccp and SHTX3.h are normally in the root directory where you have the .ino file of the program (the sketch folder - ctrl+k loads it)
you see the structure on root directory on github aswell
because of the "#include" in the code it will show like this
.
regarding the compiler messages i quote myself:
btw: the one warning from "timezone" concerning a possible wrong architecture type while compiling the code is ok.. does not matter<
other messages in red about the SHT3X are ok too but not like your error, they will look like this picture and do not disturb compiling
i hope you have noticed that there is a very simple and short way to load the code without compiling in arduino at all .. right..? (M5Burner - "the simple way..") but i guess you know and want to modify something for your purpose