Is the library or DLL compiled? Most likely you'll need to make a separate project to compile it if not.
If it is correctly compiled, you should only have to place the single .lib and/or .dll into the folder with your project and then use #include to add it's header to the project itself and tell the linker to use the .lib during compilation.
To get it to link with your files you can go to
(Menu) Project -> Project Options -> Linker ... add the .lib to the list of files to link to.
-or-
add #pragma lib "libraryname.lib" to the top of your source code.