Are we talking about symbol or footprint libs?
For footprint libs just run the library wizard, select github and follow the instructions.
(If you want local setup make sure you choose a location where you have write access.)
For symbol libs have a look at the location where your libs are installed by the installer of your operating system. There are much more libs installed than are added to new projects by default. (If you have any symbol libs, you get the libs from github. But the once tagged with your release number.)
More details see: (The first few answers are wrong. I got confused between footprint and symbol libs. If you are asking about footprint libs the first few answers might be a good read for you.)