How can I build a library under windows

Hi, I need help to do a thing that I usually do in linux, but now I'm not able to do in windows!
I'm working on a Qt project and I need to use a library to open an http link!

I've found a lot of libraries, but all of them need to be built!

Can you help me?
(For example, let's assume that I want to use the library "curl" Potreste (http://curl.haxx.se/) )

Now I'm going to explain what I think I'm able to do and then I will ask you what I need!
To build the library I have to:
a) Open Visual Studio prompt
b) Move to the directory in which I've extracted the package downloaded from the official site.
c) Use the command nmake Makefile -parameters to start the building!

But now? At the end of compilation and building, where can I find the files?
I need to include them in my program, but how can I do it?
Is it possible to use directly "include <file_name.h>" or I need to do something else?
I'm not new at programming and using packages, but I've never did it under windows!

Thank you in advance!
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