Did you download the complete GitHub repository or just the single sketch file? The sketch depends upon the files listed in the include directives at the top: "picade.h" and "TimerOne.h". Without these, compilation will simply break.
A Sketch in Arduino is defined as the folder that contains the .ino file and not just the file itself so that any extra files can be neatly contained. This is why the Arduino IDE is really particular about moving your ino into a subfolder named after the ino.
Anyway, I'm waffling; you need to:
- Go to https://github.com/pimoroni/picade-sketch
- Click "Download Zip" on the right hand side
- Unzip this file
- Navigate into the "Picade" folder and open "Picade.ino"
Now it should build!