@finge, I hade the same issue and it took a while to find where all the librarys are stored. Anyhow, after a bit of digging I found them here: https://github.com/mysensors/MySensorsArduinoExamples
Just add all stuff in the Library folder into your own Library folder and you should be good to go :)
Also, don't miss that your gateway needs to be running 2.0 if your nodes does, otherwise it will not work either.
Regards,
Henrik