Ahmadto,
The ERROR message is suggesting that you have not configured library, correctly. To configure a library on Arduino, follow instruction such as
http://arduino.cc/en/Guide/Libraries
or
Installing a Library on Windows | All About Arduino Libraries | Adafruit Learning System
I made libraries\DHT directory under sketch folder and unzipped DHT.h and DHT.cpp there (they are in the original post of this thread).
BTW, if you *only* want to know temperature of your web server, you don't really need to use the sensor. There are two temperature sensors built in Galileo on CPU and ADC. You can read them from Linux or from Arduino. They are a different from air environmental temperature, though. GalileoLinuxExamples.zip
The DHT sensor example is useful only when you want an external sensor device with temperature and humidity.
Hope this helps a little bit.