It looks like you haven't linked to the libraries properly. You can either learn about linking libraries in C++ or add the following lines to the cpp file containing main()
#pragma comment(lib, "GLFW.lib")
#pragma comment(lib, "opengl32.lib")
#pragma comment(lib, "glu32.lib")
Make sure that glfw.dll is in the same directory as your generated exe.
In C++ when linking, you need to properly match libraries to libraries. For example, 64bit to 64bit, or debug to debug, multithreaded to mutlithreaded, etc... Meaning for example if you are compiling a 64 bit dynamically linked debug build, you need to link against a 64bit dynamically linked debug library. If it sounds like a right pain in the ass, it is.