It seems you’ve opened the code from the ZIP file. It would be better if you extracted the files in the ZIP file to a new folder. It looks like you’re using Windows, so the easiest way to do this is to open the ZIP file, select all the files and folders in it, and copy them to a new folder in your “My Documents” folder or even your desktop.
If you’re still having issues after that, make sure that you have the RGBLed.h file in the folder. If you don’t, visit your circuito.io project again and check the “code” tab to see if it’s listed there.