Since EthernetUdp.h is bundled within the larger Ethernet package, follow these steps to ensure you have the latest version:

The EthernetUdp.h library is not a standalone download; it is a core component of the official Arduino Ethernet library . If you are looking to download or update it, you simply need to install or update the standard library through the Arduino IDE. How to "Download" and Install EthernetUdp.h