You need to add the Library as a dependency of the project.
Go to Project > Dependencies.
Next to "User Dependenices," click the New Entry button.
Navigate to where the library cyprrj file is and select it.
Click OK and close the dialog. There should be a new tab in the Component Catalog.
You can also add your library as a default dependency for all new projects. That is located under Tools > Options > Project Management > Default Dependencies.