It's a support library which presumably your project refers to. You will need to build it as a library project in your workspace. This process is described here Support Library Setup under Adding libraries with resources.
You will find the project you need to copy in your SDK in the folder:
\yourSDKlocation\tools\android-sdk-windows4.4\extras\android\support\v7\appcompat
(It's no use just copying a jar, you must build it as a library project.)