From the menu in Processing select Sketch | Import library and choose the library you want to use.
If you choose guicomponents then it adds that statement import guicomponents.*;
if you choose ControlP5 it adds the statement import controlP5.*;
you have to do this if you want to use anything from the library anywhere in your sketch.
NOTE: these statements are added to the top of your sketch code and should NOT be inside any method such as setup or draw.
If you select File | Examples from Processing's menu it will open a second window listing all the contributed libraries you have installed and allow you to run the example sketchs that come with the library. These will help you understand how to use the library
Mmm, I am not too sure how to formulate it. Basically, you can use this (if it is a PApplet) only outside any class, in the Processing methods like setup(), draw(), etc. In your classes, and sub-classes, and so on, you have to pass along the PApplet parameter, like a token / relay baton. Whenever you need a PApplet this, you use the pa field / parameter that have been transmitted via the constructor. The described process applies to each class needing such parameter.