What kicad version did you install? On what operating system? Did you install the libs? (some linux distributions have a separate package, the windows installer provides an option to not install libs.)
If you have 4.0.7 the switches are in the switches lib that is installed in the system directory but not added automatically to your project. They might also be in the device lib. (This one is added by default.)
Adding libs to your current project is done via eeschema->preferences->component libraries.
The libs are normally located in /usr/share/kicad/library under linux and somewhere under c:/ for windows. (look in the bottom part of the component libraries dialog to find a clue as to where they might be found.)
This question has been asked some time ago. More details about your problem can be found in the old thread: