You need to install DEHDL-AMS libraries. Installation media for this set of library can be found in CD#5.
Symbol libraries for DEHDL-PSpice (Allegro AMS Simulator) are installed seprately and default install location is <INSTALLDIR>/share/library/.
If you are familiar with DEHDL, then add required libraries from installed location into your project. This would enable you to place components from these libraries, refer DEHDL user guide on how to create project and configure symbol libraries for schematic entry.
Hope this helps.