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This package is distributed with Emacs, so there is no need to install any additional files in order to start using it. Lisp code that uses features from this package should simply include at the beginning:
(require 'cl-lib)
You may wish to add such a statement to your init file, if you make frequent use of features from this package.
Code that only uses macros from this package can enclose the
above in eval-when-compile. Internally, this library
is divided into several files, see Organization. Your code
should only ever load the main cl-lib file, which
will load the others as needed.