Did you take the code from the ino file or did you download the whole lot as a ZIP file? The zip file should contain everything you need. You just need to extract all the files from it into a folder for it to work.
Please share the circuito.io app URL if you want help with the code or components.
Did you extract the files to a folder like your desktop or documents? If you open the ino file in the ZIP file, it won’t extract all the other files you need.