It comes with a makefile. You need the gnu tools (http://gnuwin32.sourceforge.net/), and just open a command prompt in the same directory as the makefile and type
See the instructions (http://glew.sourceforge.net/build.html)
For the headers, either put them in a default search directory, or add the GL folder to your include paths by the -I command with gcc, or by adding them to your project in whatever IDE you're using. For code blocks: Settings -> Compiler & Debugger Settings -> Search Directories.
For VS it's C++->General->Additional Include Directories.