Custom Lightning Components are only available for use if you have set a custom Salesforce domain name for your organization. This is required for security reasons and is done by creating a My Domain subdomain. Carry out the following to set up a My Domain subdomain:

1. Click on the Setup gear icon, as shown in the following screenshot:

2. Click the Setup option, as shown in the following screenshot:

3. Type my domain in the Quick Find search box.
4. Click on My Domain, as shown in the following screenshot:

5. Enter name.
6. Click on Check Availability.
7. Click on Register Domain, as shown in the following screenshot:

8. Click on Deploy to Users.
9. Click on OK to confirm, as shown in the following screenshot:

10. In the resulting screen, the final step, My Domain Settings are displayed, as shown in the following screenshot: