You must move the PS2X_lib folder to your .\Documents\Arduino\libraries\. directory.
Example.
C:\Users\mflaga\Documents\Arduino\libraries\PS2X_lib
This allows the Compiler to find all the information from the library.
I just tested that it compiles on all 1.0.5, 1.0.5r2, 1.5.6.r2 and 1.5.7