Preposition

You always borrow  books from the library. Therefore, I borrow books from the library is correct.

Sanjay's answer represents the most common usage, but both "from" and "at" can be correct. They carry different meanings.  Think of the following dialogue.

Where did you get the book, Sanjay?

I borrowed it from the library.

Now, think of calling Sanjay on his cell phone.

Where are you now, Sanjay?

I'm borrowing books at the library.

I can't see you.

I'm in the fiction section, at the west end.

In and at speak of position. In is used when you are enclosed by or inside of something. At is used to indicate relative position.