I would recommend moving away from 7.1. It was really an interim release. I would at least move to 7.2 if not to the new 9.0.
If you are going to stick with 7.1
1 - Place your component at or one folder below the level where your SoPC system is located.
-or-
2 - Add your component to the altera IP tree:
"
C:\altera\72\ip\sopc_builder_ip\<your_component_folder>"
Adding the library to the Quartus library path really doesn't do anything for SoPC builder.
Now for 9.0, please reference the "SoPC Library Search Path" section of the following user's guide:
http://www.altera.com/literature/hb/qts/qts_qii54004.pdf This explains where components can be placed. It is similar to 7.1 but new features have been added.