It does not comes installed by default, so it is not installed, unless you installed it yourself.
Have a look at the "quick install guide" near the bottom of that page.
[quote="omxp, post:4, topic:2711"]
Do you mean I should install more than one script?
I just installed luci-app-sqm.
[/quote]which is the GUI for sqm-scripts. Installing luci-app-sqm installs automatically the underlying sqm-scripts package. No need to install it separately any more.