help in include and external libraries

I have downloaded an open source library from the web (written in linux)and I want to use it on windows 7, So, I have installed it with CYGWIN, but I don't know how to define the library and include files in c++, in order to use them in my program.
I have searched in the web but I have become confused.
So I will be grateful if anyone can help me
Regards
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