I have downloaded the library but not sure what went wrong
Your problem is, that you haven't installed the Adafruit_Sensor.h, which is a dependency of Adafruits DHT library. The README on Github for the DHT library also states this:


  You must have the following Arduino libraries installed to use this
  class:

Adafruit Unified Sensor Library



You can find the Adafruit_Sensor.h here at Github. Install it in your libraries folder. You can refer to the answer from per1234 for instructions on installing libraries.

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The second part in your error output is not really an error. As others stated before, the IDE only tells you, which version of the DHT library it uses. If you want to have multiple version in your libraries folder, you will have to make sure, that you always use the correct one. If they are identical, you can delete one of them, if you want to. The outcome would not be any different, except for that the IDE doesn't have to tell you, which library it uses.