I really like mysensors.org, but I've always had difficulties with the site organization. In my opinion, is not intuitive at all, although it has a great and appealing theme.
Well, maybe it shouldn't, but this sets me back when trying to build anything... I know this excellent initiative for a couple of years now, and from time to time I try to do something but I end up de-motivated because it takes too long to find simple answers/solutions. At the moment, I have nothing built although I have all the equipment I need, including SenserBenders. Yes, frustrating like r-nox commented 2 years ago.
Anyway, my point is: For the ones looking for a library that makes this DHT sketch work, mysensors have compiled a set of libraries that include this DHT.h and many others. Just go to https://www.mysensors.org/about/arduino#optional---install-external-mysensors-examples (yes, the name is not intuitive, maybe the keyword library would make it more obvious?), or jump directly to here and follow the standard library instructions. It took me two hours to find this, hope it saves time for future followers of mysensors like myself.
Good luck!