Functions -> Libraries of Functions: Standard Library and User Library wrote:
A script may call a function in an external file without having to use #Include. For this to work, a file of the same name as the function must exist in one of the following library directories:
%A_MyDocuments%\AutoHotkey\Lib\ ; User library. This directory is optional; it may be entirely absent.
path-to-the-currently-running-AutoHotkey.exe\Lib\ ; Standard library. This is also optional.
"This directory is optional; it may be entirely absent." sounds confusing; I think that (also as I tested) the directory named "Lib" has to exist if you want to use Standard Library functions.