If you are using the web ide, the one at build.particle.io, then you have to include the library. You have to go to the fifth item on the left menu bar, after flash, compile, save, and code. It should say library, and looks like a bookmark. Click on that. It will pop out a view. Scroll down until you see the Community Library search bar. And search for RelayShield. It will show you the "RELAYSHIELD", which currently is used by 520 people (or something like that). Click on that, and it will open the library. Scroll down on the left side (the one that pops up) until you see the button "Include in App". Click on that, and select your app. After you click on that, it will bring up your app. Then scroll down on that popped out view, until you see "Add to this App". Just click on this button, and then it will include that library in your project.
For Particle Dev on Desktop, it is a lot harder. If you are using Particle Dev, please reply, and I will give you the solution for that. It is very hard to manage libraries with Particle Dev. However, if you want to use the Serial Monitor while using the Particle Build on the internet, what you can do is that you do the regular serial commands on the Particle Build (build.particle.io), and open the Serial monitor on Particle Dev after also connecting to your Particle photon