Have you added the library files to the linking process? Because when you forget to do this and just include the header files, on linking the linker will give you unresolved reference errors as it doesn't know what code the functions need to link to.

What build tool are you using for compiling your source? As this mostly comes down to the build tool you are using.

In GCC you specify additional include libraries on the command line like:

gcc example.o -lglut

The -l flag is used for additional libraries followed immediately by the library name, but how this is done comes down more to the tool you are using to compile and link with then anything else.

MSBuild for example has an option in it's project file that specifies which additional libraries should be used when linking, so do most other build tools. Google your build tools name and linking with additional libraries and you should find enough information on the web to get you started.