On terminal
$cmake --find-package
then error message show where is the directory with error message, cmake looking for search Find*.cmake.
On my case /usr/share/cmake-2.8/Modules/.
then copy the FindMyLibrary.cmake to there.
$sudo cp FindMyLibrary /usr/share/cmake-2.8/Modules/
Then, find_package(MyLibrary REQUIRED) will work.