In addition to accepting a plain atom representing a filename, the loading predicates such as consult/1, use_module/1, etc. accept terms of the form

SearchPath(FileName)

One of the defined search paths is library, searching the standard Prolog library. So, to load the library lists, use

:- use_module(library(lists)).

If you are using PceEmacs, library(lists) should colour blue, indicating the file can be found. A right-click allows opening the file in the editor.

See also absolute_file_name/3 and file_search_path/2 in the manual.