In general if the megafunction you are using is in the altera_mf library, then you do need that library for functional simulation of your RTL.
If using the MegaWizard: The FIFO MegaWizard has a page labeled "EDA" that lists the simulation libraries required. You probably had altera_mf listed there. And you can of course check the LIBRARY statements at the top of the MegaWizard variation file (the VHDL file that instantiates the actual megafunction such as dcfifo or scfifo).
I searched
http://www.altera.com/ for "altera_mf". There were many search hits. Look through these to find documents or web pages with how-to information.
In Quartus on-line help, look on the "Contents" tab at "Integrating Other EDA Tools --> Using Other EDA Simulation Tools --> About Using the ModelSim [or ModelSim-Altera] Software with the Quartus II Software". I looked at a functional simulation page in this section and found some altera_mf instructions.