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You want to import a library not an example.

Arduino Folder
    |-- libraries
        |--HX711
            |--HX711.cpp
            |--HX711.h

ex:

C:\Program Files (x86)\arduino-1.8.5-windows\arduino-1.8.5\libraries\HX711

Put the files in a folder called HX711 to have everything nice and tidy.

You can put the .ino example in your sketchbook or examples folder. I would just put the libraries in the folder or create a subfolder called examples in the lib folder if you don't want to misplace things.

I use the standalone version of arduino ide, if you have it installed I suspect the folder would be under

My Documents\Arduino\libraries\

According to the documentation.