Because it is concerned with collections of hypertext documents, HTX uses the concept of a document library. There is nothing particularly grand about this. It is simply a directory in which you store a collection of documents. You can call it whatever you like and populate it with the ".htx" directories for each of the documents in your collection. It is also a convenient place to keep other files related to the documentation set, perhaps even versions of the same documents in other formats.
The key thing about a document library is that it defines a place in which to look for documents. When you link a set of documents together (the term used for establishing the correct cross-references), HTX identifies the documents involved by searching in the document libraries you specify, looking for all the ".htx" directories they contain. By default, it will simply look in your current directory.