A library is a fixed set of code which is not directly part of the design but is used in the design. An example of this is the ieee library for vhdl. The library has the following set of requirements

Libraries are treated in a similar fashion to projects except for a few differences important to the performance of the plugin

Speeding Up Library Load Time (Alpha)

In general history is intentionally not stored between different "runs" or "cleans" of the project. For the cases of libraries which are static there is the option to store the information from the last run. This is highly recommended for performance of the plugin. To enable this check the box for Enable Storage of Library Contents

Creating New Library

Creation of a new library follows the same steps as creating a new project. Right click on the libraries folder and  select New->Hardware Library