You can load the file from anywhere you want. The default paths for Finale 2014 Library files are as follows:
Windows:
C:\Users\username\AppData\Roaming\MakeMusic\Finale 2014\Libraries
Mac OS:
Users/username/Library/Application Support/MakeMusic/Finale 2014/Libraries
Since Mac OS X 10.7 the Users/username/Library folder is hidden by default. To get access, go to the folder Users/username. Then choose Go/Go to folder and enter "Library"
Best,
Andi
Vienna Symphonic Library