This slider is based on Revolution Slider plugin. This unfortunately limits it to have an individual type of importing and adding into the page, not possible through the Template Library.
Please follow these steps:
Install & Activate Revolution Slider
Access Appearance > Install plugins, locate Revolution slider and click Install. It’ll automatically install and active it.
Import the slider package
Open the Rey package you downloaded from ThemeForest and inside it, access exports/revolution-slider/revolution-slider-melbourne.zip . After you located the zip, access your site’s backend and look for Revolution Slider menu, and hit Manual Import option.
Add it into the page via Elementor
Edit and existing page with Elementor or create a new one.
Create a section and inside it add the element Revolution slider, in which you’ll need to select the already imported slider.
To make the slider go under the header, make sure to configure the Header’s position eg: