Just go to project properties -> Configuration properties -> Linker.
Goto to ->General and set the 'Additional Library directories' to point to your lib file directory.
Then goto to Linker -> Input and type in your lib file name e.g. mysqlclient.lib in the 'Additional Dependencies' field.
This is for VC++, if you are using some other compiler then you need to figure it out. I hope this should work for you.
You can even try this link
Using libraries with Visual Studio 2005 Express[
^]