The emWin library is not included with LPCOpen. It is available as a separate ZIP file download and installs right into the LPCOpen directory tree. To download emWin, go the the emWin download page at:
emWin download page on LPCware.com

Download the latest version of emWin, accept the license agreement, and unzip the files somewhere on your system. Copy the unzipped files to the "./software/emWin" directory. The files will be correctedly installed when the following directories appear directly under the "./software/emWin" directory.
"./software/emWin/emWin518_library"
"./software/emWin/emWin518_header"
"./software/emWin/emWin518_Config"
Note the file version number may be different than what is shown here.