Are you referring to the Arduino PID library? If this is the case, this library isn’t supported by the Galileo Board. If you want some more information about the supported libraries I would suggest you to check this document http://download.intel.com/support/galileo/sb/galileo_relnotes_329686_008.pdf. There was another thread about this topic, and someone suggested a link with a complete explanation of the PID library. You might want to take a look at that thread and possibly write your own PID library.