Import the Standard Assets package either when you create a new project, or go to "assets/import new package". The standard packages folder is inside your Unity application folder.

In more detail : Right click on project panel -> Import package -> search the directory where you install unity3d (e.g C:\Program Files\Unity\Editor\Standard Packages) -> choose Character Controller.

After that, there will be a folder called Character Controller which is a sub folder of Standard Assets, click it and choose First Person Controller prefab, and drag it to the scene.

Import the Prefab from the "Standard Assets" Package. It comes standard when you download Unity. Make sure when you add it into your game that it isn't touching any object, or you won't be able to move.

If you don't have the Standard Assests package, you can download it independently from the Unity website or download the "Island Demo" level for the package plus a bunch of effects, textures, etc.

Directory:

C:\Program Files\Unity\Editor\Standard Packages (Inside Unity) Standard Assets>Character Controller>First Person Controller Prefab

I did it and it couldnt decoompress :S