Hi @jett,
Okay I think I see what is going on. So once you’ve download the Cayenne library to your IDE, you don’t need to actually go and add the entire library to your sketch file when you upload code to your board. Rather than try and explain, I hope is okay if I direct you to a getting started video that I created for Arduino.
If you go to your account you can copy and paste the code given to you 
Hope this helps, keep us updated!
-B