You have clicked on the library, hit the INCLUDE IN PROJECT button and then selected the target project to import the library into?
If you have done that right, your project should look like this
You actually need to have the system “copy” the library references into your project. The #include statement alone is not enough.
One other possibility - if you’ve done it all correctly - is that you are experiencing a Web IDE glitch where you just need to change #include "Adafruit_SSD1306.h" to #include <Adafruit_SSD1306.h> or vice versa. For some reason this sometimes helps resolve the issue. After it built once you can even change it back.