If you try to search for "LM2596" in the Pick Devices window, you will likely find nothing. Without a library, you have two poor options:
Several websites provide ready-made Proteus libraries for LM2596. Popular sources include: lm2596 library for proteus
Note: You can find these by searching "LM2596 Proteus Library" on electronics engineering forums or component vendor sites. If you try to search for "LM2596" in